Browsing Documentos indexados pela Scopus by Title "ℓ1-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors"

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ℓ1-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors

Medeiros, Marcelo C.; Mendes, Eduardo Fonseca
2016

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. ...