High-dimensional Linear Regression for Dependent Data with Applications to Nowcasting

DOI10.5705/SS.202018.0044zbMath1464.62343arXiv1706.07899OpenAlexW2954705210MaRDI QIDQ4986331

Ruey S. Tsay, Yuefeng Han

Publication date: 27 April 2021

Published in: Statistica Sinica (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1706.07899

zbMATH Keywords

consistencymodel selectionforecastingnowcastingLassohigh-dimensional time seriesmixed-frequency data

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05)

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