LASSO estimation of threshold autoregressive models

Author:

Chan Ngai Hang,Yau Chun Yip,Zhang Rong-Mao

Funder

General Research Fund of HKSAR-RGC-GRF

NSFC

Fundamental Research Funds for the Central Universities

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference25 articles.

1. The geometrical ergodicity of non-linear autoregressive models;An;Statist. Sinica,1996

2. Simultaneous analysis of Lasso and Dantzig selector;Bickel;Ann. Statist.,2009

3. Bleakley, K., Vert, J.-P., 2011. The group fused Lasso for multiple change-point detection. http://hal.archives-ouvertes.fr/docs/00/60/21/21/PDF/techreport.pdf, hal-00602121, version1, 21 Jun 2011.

4. Consistencies and rates of convergence of jump-penalized least squares estimators;Boysen;Ann. Statist.,2009

5. On the existence of stationary threshold autoregressive moving-average processes;Brockwell;J. Time Ser. Anal.,1992

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