Regression coefficient and autoregressive order shrinkage and selection via the lasso

Wang, Hansheng, Li, Guodong, Tsai, Chih-Ling . Journal of the Royal Statistical Society: Series B (Statistical Methodology) 2007. 69 (1) :63-78

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Bibtex

@article{CIS-212625,
  Author = {Wang, Hansheng and Li, Guodong and Tsai, Chih-Ling},
  Title = {Regression coefficient and autoregressive order shrinkage and selection via the lasso},
  Journal = {Journal of the Royal Statistical Society: Series B (Statistical Methodology)},
  Volume = {69},
  Number = {1},
  Year = {2007},
  Pages = {63--78},
  Keywords = {Regression model with autoregressive errors, LASSO, ORACLE ESTIMATOR, Autoregression with exogenous variables}
}

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