2 papers
q-fin.ST2016
Predictability Hidden by Anomalous Observations
Lorenzo Camponovo, Olivier Scaillet, Fabio Trojani
Testing procedures for predictive regressions with lagged autoregressive variables imply a suboptimal inference in presence of small violations of ideal assumptions. We propose a n…
stat.ME2013
Oracle Properties and Finite Sample Inference of the Adaptive Lasso for Time Series Regression Models
Francesco Audrino, Lorenzo Camponovo
We derive new theoretical results on the properties of the adaptive least absolute shrinkage and selection operator (adaptive lasso) for time series regression models. In particula…