Hsu, Nan-Jung; Hung, Hung-Lin; Chang, Ya-Mei - In: Computational Statistics & Data Analysis 52 (2008) 7, pp. 3645-3657
A subset selection method is proposed for vector autoregressive (VAR) processes using the Lasso [Tibshirani, R. (1996). Regression shrinkage and selection via the Lasso. Journal of the Royal Statistical Society, Series B 58, 267-288] technique. Simply speaking, Lasso is a shrinkage method in a...
