Subset selection for vector autoregressive processes using Lasso

Computational Statistics and Data Analysis

Volumn 52, Issue 7, 2008, Pages 3645-3657

  Hsu, Nan Jung ^a   Hung, Hung Lin ^a   Chang, Ya Mei ^a  

^a NATIONAL TSING HUA UNIVERSITY   (Taiwan)

Author keywords

[No Author keywords available]

Indexed keywords

COMPUTATIONAL EFFICIENCY; CONSTRAINT THEORY; MEAN SQUARE ERROR; PARAMETER ESTIMATION; PROBLEM SOLVING; REGRESSION ANALYSIS;

AUTOREGRESSIVE MODELS; LASSO METHOD; SUBSET SELECTION METHODS;

VECTOR QUANTIZATION;

EID: 40249096206     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2007.12.004     Document Type: Article

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