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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Main Authors: | , , , , , |
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Format: | Article |
Language: | English |
Published: |
Wiley
2022-01-01
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Series: | Complexity |
Online Access: | http://dx.doi.org/10.1155/2022/2649205 |
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