Active-set based block coordinate descent algorithm in group LASSO for self-exciting threshold autoregressive model

Group LASSO (gLASSO) estimator has been recently proposed to estimate thresholds for the self-exciting threshold autoregressive model, and a group least angle regression ( gLAR ) algorithm has been applied to obtain an approximate solution to the optimization problem. Although gLAR algorithm is comp...

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Bibliographic Details
Published in:	Statistical papers (Berlin, Germany) Vol. 65; no. 5; pp. 2973 - 3006
Main Authors:	Nasir, Muhammad Jaffri Mohd, Khan, Ramzan Nazim, Nair, Gopalan, Nur, Darfiana
Format:	Journal Article
Language:	English
Published:	Berlin/Heidelberg Springer Berlin Heidelberg 01.07.2024 Springer Nature B.V
Subjects:	Algorithms Autoregressive models Economic Theory/Quantitative Economics/Mathematical Methods Economics Finance Group theory Insurance Management Mathematics and Statistics Operations Research/Decision Theory Optimization Performance enhancement Probability Theory and Stochastic Processes Regular Article Statistics Statistics for Business Thresholds SETAR Group LASSO Sparsity conditions Karush–Kuhn–Tucker algorithm
ISSN:	0932-5026, 1613-9798
Online Access:	Get full text
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