Two-step adaptive model selection for vector autoregressive processes
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Ziel, Florian, 2016. "Iteratively reweighted adaptive lasso for conditional heteroscedastic time series with applications to AR–ARCH type processes," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 773-793.
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- Xie, Fang & Xu, Lihu & Yang, Youcai, 2017. "Lasso for sparse linear regression with exponentially β-mixing errors," Statistics & Probability Letters, Elsevier, vol. 125(C), pages 64-70.
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More about this item
KeywordsVAR models; Lag order selection; Adaptive jump selection; Impulse response analysis;
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