Iteratively reweighted adaptive Lasso for conditional heteroscedastic time series with applications to AR-ARCH type processes

DOI10.1016/J.CSDA.2015.11.016zbMATH Open1466.62234arXiv1502.06557OpenAlexW1729392098MaRDI QIDQ1659166FDOQ1659166

Authors: Florian Ziel 

Publication date: 15 August 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Abstract: Shrinkage algorithms are of great importance in almost every area of statistics due to the increasing impact of big data. Especially time series analysis benefits from efficient and rapid estimation techniques such as the lasso. However, currently lasso type estimators for autoregressive time series models still focus on models with homoscedastic residuals. Therefore, an iteratively reweighted adaptive lasso algorithm for the estimation of time series models under conditional heteroscedasticity is presented in a high-dimensional setting. The asymptotic behaviour of the resulting estimator is analysed. It is found that the proposed estimation procedure performs substantially better than its homoscedastic counterpart. A special case of the algorithm is suitable to compute the estimated multivariate AR-ARCH type models efficiently. Extensions to the model like periodic AR-ARCH, threshold AR-ARCH or ARMA-GARCH are discussed. Finally, different simulation results and applications to electricity market data and returns of metal prices are shown.

Full work available at URL: https://arxiv.org/abs/1502.06557

Recommendations

• Asymptotics of the adaptive elastic net estimation for conditional heteroscedastic time series models
• \(\ell_1\)-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors
• Adaptive Lasso for linear regression models with ARMA-GARCH errors
• Autoregressive process modeling via the Lasso procedure
• The Doubly Adaptive LASSO for Vector Autoregressive Models

zbMATH Keywords

Lassohigh-dimensional time seriesvolatilityautoregressive processconditional heteroscedasticityAR-ARCH

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Cites Work

• A lasso for hierarchical interactions
• The Adaptive Lasso and Its Oracle Properties
• Least angle regression. (With discussion)
• Weak convergence and empirical processes. With applications to statistics
• Pathwise coordinate optimization
• Title not available (Why is that?)
• Variable selection with the strong heredity constraint and its oracle property
• Title not available (Why is that?)
• Sparsity and Smoothness Via the Fused Lasso
• Regularization and Variable Selection Via the Elastic Net
• Subset selection for vector autoregressive processes using Lasso
• Sign-constrained least squares estimation for high-dimensional regression
• Adaptive Lasso for sparse high-dimensional regression models
• Group Lasso for structural break time series
• Regression coefficient and autoregressive order shrinkage and selection via the lasso
• Regularization parameter selections via generalized information criterion
• Multiple Change-Point Estimation With a Total Variation Penalty
• Autoregressive process modeling via the Lasso procedure
• Consistent model selection criteria on high dimensions
• On the ``degrees of freedom of the lasso
• Title not available (Why is that?)
• The adaptive Lasso in high-dimensional sparse heteroscedastic models
• Bridge estimators and the adaptive Lasso under heteroscedasticity
• Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models
• Non-negative least squares for high-dimensional linear models: consistency and sparse recovery without regularization
• Penalized regression models with autoregressive error terms
• Subset selection for vector autoregressive processes via adaptive Lasso
• Asymptotic normality of the quasi-maximum likelihood estimator for multidimensional causal processes
• Asymptotic inference of unstable periodic ARCH processes
• Two-step adaptive model selection for vector autoregressive processes
• Estimation of nonlinear time series with conditional heteroscedastic variances by iteratively weighted least squares
• Optimal Predictions of Powers of Conditionally Heteroscedastic Processes
• Subset ARMA selection via the adaptive Lasso
• Quasi-maximum likelihood estimation of periodic autoregressive, conditionally heteroscedastic time series

Cited In (3)

• Asymptotics of the adaptive elastic net estimation for conditional heteroscedastic time series models
• Regularization for electricity price forecasting
• On the adaptive Lasso estimator of AR(\(p\)) time series with applications to INAR(\(p\)) and Hawkes processes

Uses Software

• hierNet

This page was built for publication: Iteratively reweighted adaptive Lasso for conditional heteroscedastic time series with applications to AR-ARCH type processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1659166)