L1-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors
Marcelo C. Medeiros, Eduardo F. Mendes
| Year of publication: |
March 2016
|
|---|---|
| Authors: | Medeiros, Marcelo C. ; Mendes, Eduardo F. |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 191.2016, 1, p. 255-271
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| Subject: | Sparse models | Shrinkage | LASSO | AdaLASSO | Time series | Forecasting | GARCH | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Schätztheorie | Estimation theory | Heteroskedastizität | Heteroscedasticity |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2015.10.011 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011598121