Estimation of stationary autoregressive models with the Bayesian LASSO

DOI10.1111/jtsa.12027zbMath1282.62203OpenAlexW2119693067MaRDI QIDQ5397970

Daniel F. Schmidt, Enes Makalic

Publication date: 25 February 2014

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12027

zbMATH Keywords

Bayesian statisticsautoregressive modelsMCMCLASSO

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07) Bayesian inference (62F15) Numerical analysis or methods applied to Markov chains (65C40)

Related Items (3)

Bayesian empirical likelihood inference and order shrinkage for autoregressive models ⋮ LASSO order selection for sparse autoregression: a bootstrap approach ⋮ Tuning parameter selection for the adaptive LASSO in the autoregressive model

Cites Work

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• Adaptive Rejection Sampling for Gibbs Sampling
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• A new look at the statistical model identification

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