Moment convergence in regularized estimation under multiple and mixed-rates asymptotics

DOI10.3103/S1066530717020016zbMath1380.62082arXiv1406.6751OpenAlexW2962686354MaRDI QIDQ1678536

Yusuke Shimizu, Hiroki Masuda

Publication date: 17 November 2017

Published in: Mathematical Methods of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1406.6751

zbMATH Keywords

stochastic differential equationregularized estimationsparse estimationmoment convergencemixed-rates asymptoticslarge deviation inequality

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Random fields; image analysis (62M40) Asymptotic distribution theory in statistics (62E20) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60)

Related Items (13)

Penalized least squares approximation methods and their applications to stochastic processes ⋮ Quasi-likelihood analysis and its applications ⋮ Moment convergence in regularized estimation under multiple and mixed-rates asymptotics ⋮ AIC for the non-concave penalized likelihood method ⋮ A general result on complete f -moment convergence with its application to nonparametric regression models ⋮ Regularized bridge-type estimation with multiple penalties ⋮ The Dantzig Selector for Diffusion Processes with Covariates ⋮ Adaptive estimation for degenerate diffusion processes ⋮ Complete and complete moment convergence for randomly weighted sums ofρ*-mixing random variables and its applications ⋮ Quasi-likelihood analysis and Bayes-type estimators of an ergodic diffusion plus noise ⋮ Parametric Modeling of Quantile Regression Coefficient Functions With Longitudinal Data ⋮ Partial quasi-likelihood analysis ⋮ The Dantzig selector for a linear model of diffusion processes

Cites Work

• Unnamed Item
• Polynomial type large deviation inequalities and quasi-likelihood analysis for stochastic differential equations
• AIC for the Lasso in generalized linear models
• Adaptive estimation of an ergodic diffusion process based on sampled data
• Efficient minimum distance estimation with multiple rates of convergence
• Uniform moment bounds of Fisher's information with applications to time series
• Discretization of processes.
• On the distribution of penalized maximum likelihood estimators: the LASSO, SCAD, and thresholding
• Regularization in statistics
• Estimation for diffusion processes from discrete observation
• On the estimation of the diffusion coefficient for multi-dimensional diffusion processes
• Moment convergence in regularized estimation under multiple and mixed-rates asymptotics
• Asymptotic expansion formulas for functionals of \(\varepsilon\)-Markov processes with a mixing property
• Asymptotics for Lasso-type estimators.
• AIC, overfitting principles, and the boundedness of moments of inverse matrices for vector autotregressions and related models.
• Uniform integrability of the OLS estimators, and the convergence of their moments
• Mixed-rates asymptotics
• Parametric Estimation of Lévy Processes
• ADAPTIVE LASSO-TYPE ESTIMATION FOR MULTIVARIATE DIFFUSION PROCESSES
• Asymptotic Statistics
• Estimation of an Ergodic Diffusion from Discrete Observations
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
• Model Selection and Multimodel Inference
• Predictor Selection for Positive Autoregressive Processes
• Ridge Regression: Biased Estimation for Nonorthogonal Problems
• Information criteria in model selection for mixing processes
• A new look at the statistical model identification

This page was built for publication: Moment convergence in regularized estimation under multiple and mixed-rates asymptotics