Factor-Adjusted Regularized Model Selection
DOI10.48550/arXiv.1612.08490zbMath1456.62114arXiv1612.08490WikidataQ91740386 ScholiaQ91740386MaRDI QIDQ150847
Yuan Ke, Kaizheng Wang, Jianqing Fan, Yuan Ke, Kaizheng Wang, Jianqing Fan
Publication date: 27 December 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1612.08490
time series; factor model; model selection consistency; correlated covariates; regularized \(M\)-estimator
62P20: Applications of statistics to economics
62-08: Computational methods for problems pertaining to statistics
62H25: Factor analysis and principal components; correspondence analysis
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62J07: Ridge regression; shrinkage estimators (Lasso)
62J05: Linear regression; mixed models
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