Model Selection for Vector Autoregressive Processes via Adaptive Lasso (Q2859291)
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scientific article; zbMATH DE number 6223421
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Model Selection for Vector Autoregressive Processes via Adaptive Lasso |
scientific article; zbMATH DE number 6223421 |
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Model Selection for Vector Autoregressive Processes via Adaptive Lasso (English)
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7 November 2013
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adaptive lasso
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Bayesian information criterion
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least angle regression algorithm
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oracle property
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order selection
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subset selection
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vector autoregressive models
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