Autoregressive Process Modeling via the Lasso Procedure

8 May 2008

Papers citing "Autoregressive Process Modeling via the Lasso Procedure"

8 / 8 papers shown

Title
Lag selection and estimation of stable parameters for multiple autoregressive processes through convex programming Somnath Chakraborty Johannes Lederer R. Sachs 29 0 0 03 Mar 2023
High Dimensional Generalised Penalised Least Squares Ilias Chronopoulos Katerina Chrysikou G. Kapetanios 15 2 0 14 Jul 2022
High-dimensional regression with potential prior information on variable importance B. Stokell Rajen Dinesh Shah 25 0 0 23 Sep 2021
A Bernstein-type Inequality for High Dimensional Linear Processes with Applications to Robust Estimation of Time Series Regressions Linbo Liu Danna Zhang AI4TS 40 1 0 21 Sep 2021
Neural graphical modelling in continuous-time: consistency guarantees and algorithms Alexis Bellot K. Branson M. Schaar CML AI4TS 24 43 0 06 May 2021
Lasso Inference for High-Dimensional Time Series R. Adámek Stephan Smeekes Ines Wilms AI4TS 26 33 0 21 Jul 2020
An Ordered Lasso and Sparse Time-Lagged Regression Xiaotong Suo Robert Tibshirani OOD AI4TS 43 32 0 26 May 2014
Simultaneous sparse model selection and coefficient estimation for heavy-tailed autoregressive processes Hailin Sang Yan Sun 71 13 0 12 Dec 2011