Oracle M-estimation for time series models
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Recommendations
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- LASSO estimation of threshold autoregressive models
Cites work
- \(\ell_1\)-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors
- A general resampling scheme for triangular arrays of -mixing random variables with application to the problem of spectral density estimation
- A Statistical View of Some Chemometrics Regression Tools
- Asymptotic optimality of new adaptive test in regression model
- Asymptotic properties of the residual bootstrap for lasso estimators
- Asymptotics for Lasso-type estimators.
- Bootstrap confidence bands for spectra and cross-spectra
- Bootstrap Critical Values for Tests Based on Generalized-Method-of-Moments Estimators
- Bootstrap Recycling: A Monte Carlo Alternative to the Nested Bootstrap
- Bootstrapping in non-regular smooth function models
- Bootstrapping Lasso estimators
- Consistent Covariance Matrix Estimation for Dependent Heterogeneous Processes
- Empirical likelihood methods with weakly dependent processes
- Empirical likelihood ratio confidence intervals for a single functional
- Empirical likelihood ratio confidence regions
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- HIGHER-ORDER ACCURATE, POSITIVE SEMIDEFINITE ESTIMATION OF LARGE-SAMPLE COVARIANCE AND SPECTRAL DENSITY MATRICES
- scientific article; zbMATH DE number 1266748 (Why is no real title available?)
- scientific article; zbMATH DE number 845714 (Why is no real title available?)
- Improved multivariate portmanteau test
- Intentionally Biased Bootstrap Methods
- Locally-weighted regression: an approach to regression analysis by local fitting
- Matched-block bootstrap for dependent data
- Nonparametric standard errors and confidence intervals
- On blocking rules for the bootstrap with dependent data
- On bootstrap resampling and iteration
- Operating Characteristics and Extensions of the False Discovery Rate Procedure
- Order estimation in ARMA-models by Lagrangian multiplier tests
- Prepivoting to reduce level error of confidence sets
- RcppArmadillo: accelerating R with high-performance C++ linear algebra
- Real Analysis and Probability
- Resampling a coverage pattern
- Resampling methods for dependent data
- Subset selection for vector autoregressive processes via adaptive Lasso
- Tapered block bootstrap
- The Adaptive Lasso and Its Oracle Properties
- the Block-Block Bootstrap: Improved Asymptotic Refinements
- The jackknife and the bootstrap for general stationary observations
- The Stationary Bootstrap
- The use of subseries values for estimating the variance of a general statistic from a stationary sequence
- Time series: theory and methods
- Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
Cited in
(4)- Bootstrap based inference for sparse high-dimensional time series models
- A thresholding-based prewhitened long-run variance estimator and its dependence-oracle property
- Oracle GMM estimation for misspecified models via thresholding
- The EAS approach for graphical selection consistency in vector autoregression models
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