On the Oracle Property of the Adaptive Lasso in Stationary and Nonstationary Autoregressions
Year of publication: |
2012-02-02
|
---|---|
Authors: | Kock, Anders Bredahl |
Institutions: | School of Economics and Management, University of Aarhus |
Subject: | Adaptive LASSO | Oracle efficiency | Consistent model selection | Conservative model selection | autoregression | shrinkage |
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