On the adaptive Lasso estimator of AR(p) time series with applications to INAR(p) and Hawkes processes

Author:

De Canditiis DanielaORCID,Torrisi Giovanni Luca

Funder

INdAM

Publisher

Elsevier BV

Subject

Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability

Reference37 articles.

1. Handbook of Financial Time Series: Modeling Financial High Frequency Data using Point Processes;Bauwens,2009

2. Convergence of Probability Measures;Billingsley,1968

3. Rate of convergence to equilibrium of marked Hawkes processes;Brémaud;J. Appl. Probab.,2002

4. Time Series: Theory and Methods;Brockwell,1991

5. Subset ARMA selection via the adaptive Lasso;Chen;Stat. Interface,2011

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