The Doubly Adaptive LASSO for Vector Autoregressive Models (Q4976476)
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scientific article; zbMATH DE number 6754882
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The Doubly Adaptive LASSO for Vector Autoregressive Models |
scientific article; zbMATH DE number 6754882 |
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The Doubly Adaptive LASSO for Vector Autoregressive Models (English)
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31 July 2017
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adaptive Lasso
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asymptotic normality
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estimation consistency
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Lasso
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oracle property
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doubly adaptive Lasso
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PLAC-weighted adaptive Lasso
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selection consistency
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VAR
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VAR time series
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vector autoregressive processes
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teacher-student dual
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