Lasso estimator
Daniela De Canditiis: The adaptive Lasso estimator for INAR(p) time series and application to Hawkes processes |
We propose an adaptive Lasso estimator for inferring the fertility function of a Hawkes stationary point process, without any assumption on its form. We study both the numerical and theoretical properties of this estimator. We will show its numerical advantages over the classical CLS… |
