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Autoregressive process modeling via the lasso procedure
Autoregressive process modeling via the lasso procedure











autoregressive process modeling via the lasso procedure

SFB649DP2016-047, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. Lenka Zbonakova & Wolfgang Karl Härdle & Weining Wang, 2016.Statistical Methods & Applications, Springer Società Italiana di Statistica, vol. " A generalized mixture integer-valued GARCH model," Huiyu Mao & Fukang Zhu & Yan Cui, 2020.Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics Finnish Statistical Society Norwegian Statistical Association Swedish Statistical Association, vol. " Parameter Change Test for Poisson Autoregressive Models,"

#AUTOREGRESSIVE PROCESS MODELING VIA THE LASSO PROCEDURE SERIES#

Journal of Time Series Analysis, Wiley Blackwell, vol. " Quasi-Likelihood Inference For Negative Binomial Time Series Models," Vasiliki Christou & Konstantinos Fokianos, 2014.Stochastic Processes and their Applications, Elsevier, vol. " Ergodicity of observation-driven time series models and consistency of the maximum likelihood estimator," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. " Integer-valued time series model order shrinkage and selection via penalized quasi-likelihood approach," Xinyang Wang & Dehui Wang & Kai Yang, 2021.These are the items that most often cite the same works as this one and are cited by the same works as this one. 73(2), pages 211-230, March.įull references (including those not matched with items on IDEAS) " Estimation and testing for a Poisson autoregressive model," " Inference for pth‐order random coefficient integer‐valued autoregressive processes," René Ferland & Alain Latour & Driss Oraichi, 2006.Journal of Multivariate Analysis, Elsevier, vol. " Autoregressive process modeling via the Lasso procedure," Statistics & Probability Letters, Elsevier, vol.

autoregressive process modeling via the lasso procedure

" On weak dependence conditions for Poisson autoregressions,"

  • Doukhan, Paul & Fokianos, Konstantinos & Tjøstheim, Dag, 2012.
  • Journal of the American Statistical Association, American Statistical Association, vol. " The Adaptive Lasso and Its Oracle Properties," " Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties," " Observation-driven models for Poisson counts,"īiometrika, Biometrika Trust, vol.
  • Konstantinos Fokianos & Anders Rahbek & Dag Tjøstheim, 2009.Ģ009-12, Department of Economics and Business Economics, Aarhus University.
  • Department of Economics, revised Dec 2008.
  • Konstantinos Fokianos & Anders Rahbek & Dag Tjøstheim, 2008.Ġ8-35, University of Copenhagen.












  • Autoregressive process modeling via the lasso procedure