Lasso with long memory regression errors

DOI10.1016/J.JSPI.2014.05.003zbMATH Open1365.62279OpenAlexW2084692063MaRDI QIDQ2250693FDOQ2250693

Authors Abhishek Kaul

Publication date 21 July 2014

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jspi.2014.05.003

zbMATH Keywords

asymptotic normalityLassosparsitysign consistencylong memory dependence

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Ridge regression; shrinkage estimators (Lasso) (62J07)

Recommendations

• Modified LASSO estimators for time series regression models with dependent disturbances
• Autoregressive process modeling via the Lasso procedure
• Oracle inequalities for high dimensional vector autoregressions
• Adaptive Lasso in high-dimensional settings
• Asymptotic properties of the LSE in a regression model with long-memory stationary errors

Cites work

• scientific article; zbMATH DE number 5819433 (Why is no real title available?)
• scientific article; zbMATH DE number 5957408 (Why is no real title available?)
• scientific article; zbMATH DE number 845714 (Why is no real title available?)
• Asymptotics for Lasso-type estimators.
• Chi-square oracle inequalities
• Efficient location and regression estimation for long range dependent regression models
• High-dimensional graphs and variable selection with the Lasso
• Large sample inference for long memory processes
• Long memory processes and fractional integration in econometrics
• Long-memory processes. Probabilistic properties and statistical methods
• Mixing: Properties and examples
• Nonparametric regression with heteroscedastic long memory errors
• Penalized regression models with autoregressive error terms
• Restricted eigenvalue properties for correlated Gaussian designs
• Simultaneous analysis of Lasso and Dantzig selector
• Sparsity considerations for dependent variables
• Statistics for high-dimensional data. Methods, theory and applications.
• The Adaptive Lasso and Its Oracle Properties

Cited in

(7)

• A Bernstein-type inequality for high dimensional linear processes with applications to robust estimation of time series regressions
• Group structure detection for a high‐dimensional panel data model
• An efficient two step algorithm for high dimensional change point regression models without grid search
• Lasso regression in sparse linear model with \(\varphi\)-mixing errors
• Modified LASSO estimators for time series regression models with dependent disturbances
• Performance bounds for parameter estimates of high-dimensional linear models with correlated errors
• Lasso for sparse linear regression with exponentially \(\beta\)-mixing errors

Describes a project that uses

Uses Software

• glmnet

This page was built for publication: Lasso with long memory regression errors

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2250693)