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Selecting time-series hyperparameters with the artificial jackknife: elastic-net VAR.
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ElasticNetVAR.jl

Selecting time-series hyperparameters with the artificial jackknife: elastic-net VAR.

Description

This repository contains code related to “Selecting time-series hyperparameters with the artificial jackknife”.

This article proposes a generalisation of the delete-d jackknife to solve hyperparameter selection problems for time series. This novel technique is compatible with dependent data since it substitutes the jackknife removal step with a fictitious deletion, wherein observed datapoints are replaced with artificial missing values. In order to emphasise this point, I called this methodology artificial delete-d jackknife. As an illustration, it is used to regulate vector autoregressions with an elastic-net penalty on the coefficients.

Citation

If you use this code or build upon it, please use the following (bibtex) citation:

@misc{pellegrino2020ajk,
    title={Selecting time-series hyperparameters with the artificial jackknife},
    author={Filippo Pellegrino},
    year={2020},
    eprint={2002.04697},
    archivePrefix={arXiv},
    primaryClass={stat.ME}
}
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