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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Bibliographic Details
Main Author: Muhammad Jaffri Mohd Nasir
Format: UMK Etheses
Language:English
Published: 2020
Online Access: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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