Asymptotics of the Adaptive Elastic Net Estimation for Conditional Heteroscedastic Time Series Models
In this paper we propose an iteratively reweighted adaptive elastic net estimation method for conditional heteroscedastic time series models. The sign consistency and the asymptotic normality of the estimator are investigated. Compared with the Lasso method, the elastic net is more efficient for au...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Instituto Nacional de Estatística | Statistics Portugal
2022-05-01
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| Series: | Revstat Statistical Journal |
| Subjects: | |
| Online Access: | https://revstat.ine.pt/index.php/REVSTAT/article/view/369 |