Iteratively reweighted adaptive Lasso for conditional heteroscedastic time series with applications to AR-ARCH type processes (Q1659166)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Iteratively reweighted adaptive Lasso for conditional heteroscedastic time series with applications to AR-ARCH type processes |
scientific article |
Statements
Iteratively reweighted adaptive Lasso for conditional heteroscedastic time series with applications to AR-ARCH type processes (English)
0 references
15 August 2018
0 references
high-dimensional time series
0 references
Lasso
0 references
autoregressive process
0 references
conditional heteroscedasticity
0 references
volatility
0 references
AR-ARCH
0 references
0 references
0 references
0 references
0 references
0 references
