On the adaptive Lasso estimator of AR(\(p\)) time series with applications to INAR(\(p\)) and Hawkes processes

DOI10.1016/j.jspi.2024.106145zbMath1537.62038MaRDI QIDQ6541944

Giovanni Luca Torrisi, Daniela de Canditiis

Publication date: 21 May 2024

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

zbMATH Keywords

Hawkes processesLasso estimatorAR(\(p\))INAR(\(p\))

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Cites Work

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