Efficient estimation and variable selection for infinite variance autoregressive models

DOI10.1007/S12190-012-0567-7MaRDI QIDQ2511112zbMATH OpenOpenAlexFDO

Authors Linjun Tang, Zhangong Zhou, Changchun Wu

Publication date 5 August 2014

Published in Journal of Applied Mathematics and Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s12190-012-0567-7

zbMATH Keywords

autoregressive modelcomposite quantile regressioninfinite variance

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07)

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Cites work

• Composite quantile regression and the oracle model selection theory
• Least absolute deviation estimates in autoregression with infinite variance
• Limiting distributions for \(L_1\) regression estimators under general conditions
• M-estimation for autoregression with infinite variance
• Quantile Autoregression
• Quantile regression.
• Regression Quantiles
• Regression and autoregression with infinite variance
• Self-Weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models
• Sparse estimation and inference for censored median regression
• The Adaptive Lasso and Its Oracle Properties
• Trimmed portmanteau test for linear processes with infinite variance
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
• Weighted empirical processes in dynamic nonlinear models.
• Weighted least absolute deviations estimation for ARMA models with infinite variance

Cited in

(11)

• Modified LASSO estimators for time series regression models with dependent disturbances
• Weighted quantile regression for AR model with infinite variance errors
• A predictive leverage statistic for quantile regression with measurement errors
• Two step composite quantile regression for single-index models
• Regularization and variable selection for infinite variance autoregressive models
• Penalized weighted composite quantile regression in the linear regression model with heavy-tailed autocorrelated errors
• Testing in linear composite quantile regression models
• Adaptive estimation of AR(\(\infty\)) models with time-varying variances
• Empirical likelihood for the smoothed LAD estimator in infinite variance autoregressive models
• A robust and efficient estimation method for partially nonlinear models via a new MM algorithm
• Composite quantile regression estimation of linear error-in-variable models using instrumental variables

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