Comparison of Weighted Lag Adaptive LASSO with Autometrics for Covariate Selection and Forecasting Using Time-Series Data

In order to reduce the dimensionality of parameter space and enhance out-of-sample forecasting performance, this research compares regularization techniques with Autometrics in time-series modeling. We mainly focus on comparing weighted lag adaptive LASSO (WLAdaLASSO) with Autometrics, but as a benc...

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Bibliographic Details
Main Authors: Sara Muhammadullah, Amena Urooj, Faridoon Khan, Mohammed N Alshahrani, Mohammed Alqawba, Sanaa Al-Marzouki
Format: Article
Language:English
Published: Wiley 2022-01-01
Series:Complexity
Online Access:http://dx.doi.org/10.1155/2022/2649205
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