The LASSO Method for Bilinear Time Series Models

DOI10.1080/03610918.2014.915036zbMath1342.62152OpenAlexW2293652724MaRDI QIDQ3178511

Lixiang Tan, Lihong Wang

Publication date: 14 July 2016

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2014.915036

zbMATH Keywords

LASSOstepwise regressionleast angle regressiongeneralized cross-validation methodbilinear time series modelGLLS

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07)

Cites Work

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