LASSO estimation of threshold autoregressive models-Reference-Cited by-同舟云学术

LASSO estimation of threshold autoregressive models

Published:2015-12 Issue:2 Volume:189 Page:285-296
ISSN:0304-4076
Container-title:Journal of Econometrics
language:en
Short-container-title:Journal of Econometrics

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

Cited by 32 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Asymptotic optimality of the nonnegative garrote estimator in threshold models;Journal of Statistical Computation and Simulation;2024-07-02

2. Active-set based block coordinate descent algorithm in group LASSO for self-exciting threshold autoregressive model;Statistical Papers;2023-12-09

3. Group LASSO for Change-points in Functional Time Series;Acta Mathematica Sinica, English Series;2023-11

4. A Framework for Context-Sensitive Prediction in Time Series - Feasibility Study for Data-Driven Simulation in Medicine;2023 IEEE 10th International Conference on Data Science and Advanced Analytics (DSAA);2023-10-09

5. Shrinkage estimation and order selection in threshold autoregressive models via Bayesian empirical likelihood;Communications in Statistics - Simulation and Computation;2023-09-05