Browsing Produção Intelectual em Bases Externas by Title "L(1)-regularization of high-dimensional time-series models with non-gaussian and heteroskedastic errors"
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L(1)-regularization of high-dimensional time-series models with non-gaussian and heteroskedastic errors
2016-03We 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. ...
