Regularization for stationary multivariate time series

DOI10.1080/14697688.2012.664933zbMath1278.62167OpenAlexW2089202576MaRDI QIDQ2873031

Yan Sun, Xiaodong Lin

Publication date: 17 January 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2012.664933

zbMATH Keywords

regularizationasymptotic normalitysparsitypenaltymultivariate GARCH

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Economic time series analysis (91B84)

Cites Work

• The Adaptive Lasso and Its Oracle Properties
• Autoregressive process modeling via the Lasso procedure
• Sparse permutation invariant covariance estimation
• Regularized estimation of large covariance matrices
• Nonparametric estimation of large covariance matrices of longitudinal data
• Modelling Multivariate Volatilities via Conditionally Uncorrelated Components
• ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL
• A group bridge approach for variable selection
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
• Ideal spatial adaptation by wavelet shrinkage
• A full-factor multivariate GARCH model
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties

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