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NTIS 바로가기응용통계연구 = The Korean journal of applied statistics, v.35 no.5, 2022년, pp.631 - 644
김동영 (성균관대학교 통계학과) , 백창룡 (성균관대학교 통계학과)
This paper considers robust estimation of the sparse vector autoregressive model (sVAR) useful in high-dimensional time series analysis. First, we generalize the result of Xu et al. (2008) that the adaptive lasso indeed has robustness in sVAR as well. However, adaptive lasso method in sVAR performs ...
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