文章基本信息

标题：Robust Lag Weighted Lasso for Time Series Model
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作者：Tahir R. Dikheel ; Alaa Q. Yaseen
期刊名称：Journal of Modern Applied Statistical Methods
出版年度：2020
卷号：19
期号：1
语种：English
出版社：Wayne State University
摘要：The lag-weighted lasso was introduced to deal with lag effects when identifying the true model in time series. This method depends on weights to reflect both the coefficient size and the lag effects. However, the lag weighted lasso is not robust. To overcome this problem, we propose robust lag weighted lasso methods. Both the simulation study and the real data example show that the proposed methods outperform the other existing methods.