LASSO‐Type Penalties for Covariate Selection and Forecasting in Time Series

DOI10.1002/FOR.2403zbMath1378.62074OpenAlexW2286995295MaRDI QIDQ4596036

Evandro Konzen, Flávio Augusto Ziegelmann

Publication date: 8 December 2017

Published in: Journal of Forecasting (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/for.2403

zbMATH Keywords

variable selectionpenaltiesadaLassodimensionality of the parameter spaceweighted lag adaptive Lasso

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (1)

Penalized averaging of parametric and non-parametric quantile forecasts

This page was built for publication: LASSO‐Type Penalties for Covariate Selection and Forecasting in Time Series