Regularization and selection in Gaussian mixture of autoregressive models
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Publication:4960859
DOI10.1002/cjs.11332zbMath1474.62054OpenAlexW2758653249MaRDI QIDQ4960859
Abbas Khalili, David A. Stephens, Jiahua Chen
Publication date: 23 April 2020
Published in: Canadian Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/cjs.11332
Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07) Point estimation (62F10) Statistical aspects of information-theoretic topics (62B10)
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