Controlling the false discovery rate in sparse VHAR models using knockoffs
Author:
Affiliation:
1. Department of Statistics, Sungkyunkwan University
Funder
National Research Foundation of Korea
Publisher
The Korean Statistical Society
Subject
General Earth and Planetary Sciences,General Engineering,General Environmental Science
Link
http://pdf.medrang.co.kr/KJAS/2022/035/KJAS035-06-685.pdf
Reference16 articles.
1. Sparse vector heterogeneous autoregressive modeling for realized volatility
2. Controlling the false discovery rate via knockoffs
3. Controlling the False Discovery Rate: A Practical and Powerful Approach to Multiple Testing
4. ON STEPWISE MULTIPLE LINEAR REGRESSION
5. Panning for gold: ‘model‐X’ knockoffs for high dimensional controlled variable selection
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