UoI-VAR, a Union of Intersections based estimator for high-dimensional VAR models, achieves sparser and less biased estimates than cross-validated LASSO in simulations.
Bolasso: model consistent lasso estimation through the boostrap
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Sparse and Low-bias Estimation of High Dimensional Vector Autoregressive Models
UoI-VAR, a Union of Intersections based estimator for high-dimensional VAR models, achieves sparser and less biased estimates than cross-validated LASSO in simulations.