Subset selection for vector autoregressive processes using Lasso

Title
Subset selection for vector autoregressive processes using Lasso
Authors
Keywords
-
Journal
COMPUTATIONAL STATISTICS & DATA ANALYSIS
Volume 52, Issue 7, Pages 3645-3657
Publisher
Elsevier BV
Online
2007-12-19
DOI
10.1016/j.csda.2007.12.004

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