Modified LASSO estimators for time series regression models with dependent disturbances

DOI10.1007/S10260-020-00506-WMaRDI QIDQ2220306zbMATH OpenOpenAlexWikidataFDO

Authors Yujie Xue, Masanobu Taniguchi

Publication date 22 January 2021

Published in Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10260-020-00506-w

zbMATH Keywords

high dimensional regressionlong-memory disturbancesmodified Lasso

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric estimators (62F12) Ridge regression; shrinkage estimators (Lasso) (62J07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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• \(\ell_1\)-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors
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• High-dimensional graphs and variable selection with the Lasso
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• Lasso with long memory regression errors
• Local asymptotic normality for regression models with long-memory disturbance
• Model selection and estimation in the Gaussian graphical model
• Optimal Statistical Inference in Financial Engineering
• Oracle inequalities for high dimensional vector autoregressions
• Regression and time series model selection in small samples
• Regression coefficient and autoregressive order shrinkage and selection via the lasso

Cited in

(3)

• Lasso with long memory regression errors
• Lag weighted lasso for time series model
• A note on the asymptotic distribution of lasso estimator for correlated data

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