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LASSO-type estimations for threshold autoregressive and heteroscedastic time series models.

In this thesis, we propose Least Absolute Shrinkage and Selection Operator (LASSO) type estimators to perform simultaneous parameter estimation and model selection for five specific univariate and multivariate time series models, and develop several algorithms to compute these estimators. The fi...

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書誌詳細
第一著者:	Muhammad Jaffri Mohd Nasir
フォーマット:	UMK Etheses
言語:	English
出版事項:	2020
オンライン･アクセス:	http://discol.umk.edu.my/id/eprint/10751/1/Muhammad%20Jaffri%20Mohd%20Nasir.pdf http://discol.umk.edu.my/id/eprint/10751/
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