Listagem Produção Intelectual em Bases Externas por Assunto "Processos gaussianos"

Itens para a visualização no momento 1-2 of 2

Adaptive LASSO estimation for ARDL models with GARCH innovations

Medeiros, Marcelo C.; Mendes, Eduardo Fonseca
2017

In this paper, we show the validity of the adaptive least absolute shrinkage and selection operator (LASSO) procedure in estimating stationary autoregressive distributed lag(p,q) models with innovations in a broad class ...
L(1)-regularization of high-dimensional time-series models with non-gaussian and heteroskedastic errors

Medeiros, Marcelo C.; Mendes, Eduardo Fonseca
2016-03

We study the asymptotic properties of the Adaptive LASSO (adaLASSO) in sparse, high-dimensional, linear time-series models. The adaLASSO is a one-step implementation of the family of folded concave penalized least-squares. ...