Regularised forecasting via smooth-rough partitioning of the regression coefficients
DOI10.1214/19-EJS1573zbMath1425.62126OpenAlexW2944867765WikidataQ127677827 ScholiaQ127677827MaRDI QIDQ2002584
Piotr Fryzlewicz, Hyeyoung Maeng
Publication date: 12 July 2019
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.ejs/1561168839
Inference from stochastic processes and prediction (62M20) Numerical computation using splines (65D07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Linear regression; mixed models (62J05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics to environmental and related topics (62P12) Sequential estimation (62L12)
Uses Software
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