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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...