# sparse coefficient time series models

I am trying to build sparse coefficient time series models but couldn't find a good resource/book to learn from. Can anyone share with me a good resource/book? It will be great if it comes with R codes.Can anyone use this kind model? Thanks.

• Could you be a little more explicit as to what you mean by "sparse" in this context and how this differs from the Box-Jenkins approach? – Stephan Kolassa Nov 21 '12 at 10:06
• For example:if we build an ARMA(p,q) model,generally,we need estimate p+q coefficients.The sparse means some of the p+q coefficients may equal to zero.So the model's coefficients are sparse.Maybe I don't describe clearly or in time-series these models don't call sparse coefficient models.If like this what they named? Thanks. – XingHua.Ma Nov 21 '12 at 12:49

• @Zach: you and me both, it would make a lot of sense... But the paper behind my third link notes that simulations were done in R using lars and glmnet, so it might be worthwhile to mail the authors and ask for their code. – Stephan Kolassa Nov 21 '12 at 19:37