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}
}