no code implementations • 13 Aug 2021 • Zhihao Xu, Clifford M. Hurvich
A unified frequency domain cross-validation (FDCV) method is proposed to obtain a heteroskedasticity and autocorrelation consistent (HAC) standard error.
no code implementations • 18 Mar 2014 • Cheryl J. Flynn, Clifford M. Hurvich, Jeffrey S. Simonoff
Oracle inequalities provide probability loss bounds for the Lasso estimator at a deterministic choice of the regularization parameter.
