Exponential squared loss based robust variable selection of AR models
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Publication:2673830
DOI10.1214/21-BJPS524zbMath1503.62071WikidataQ115517671 ScholiaQ115517671MaRDI QIDQ2673830
Yujie Gai, Yaxin Wu, Yunquan Song, Xi-Jun Liang
Publication date: 13 June 2022
Published in: Brazilian Journal of Probability and Statistics (Search for Journal in Brave)
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07) Applications of statistics to environmental and related topics (62P12)
Cites Work
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