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The Lasso under Poisson-like Heteroscedasticity
Lasso Poisson-like Model Sign Consistency Heteroscedas- ticity
2016/1/19
The performance of the Lasso is well understood under the assumptions of the standard sparse linear model with homoscedastic noise. However, in several applications, the standard model does not descri...
The Lasso under Heteroscedasticity
Lasso Poisson-like Model Sign Consistency Heteroscedas-ticity
2010/11/9
The performance of the Lasso is well understood under the assumptions of the standard linear model with homoscedastic noise. However, in several appli-cations, the standard model does not describe the...
Adaptive pointwise estimation in time-inhomogeneous conditional heteroscedasticity models
adaptive pointwise estimation autoregressive models conditional heteroscedasticity models local time-homogeneity
2010/3/19
This paper offers a new method for estimation and forecasting of the volatility of financial time series when the stationarity assumption is violated. Our general local parametric approach
particular...