Subset selection for vector autoregressive processes via adaptive Lasso (Q613145)
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scientific article; zbMATH DE number 5828024
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Subset selection for vector autoregressive processes via adaptive Lasso |
scientific article; zbMATH DE number 5828024 |
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Subset selection for vector autoregressive processes via adaptive Lasso (English)
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20 December 2010
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adaptive Lasso
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Bayesian information criterion
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HQ criterion
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oracle property
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vector autoregressive processes
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0.9807662
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0.95146906
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0.8983254
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0.8918562
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0.8906375
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0.8896728
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0.88314885
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0.8795607
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