Lasso with long memory regression errors

DOI10.1016/j.jspi.2014.05.003zbMath1365.62279OpenAlexW2084692063MaRDI QIDQ2250693

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 normalitysparsityLassosign consistencylong memory dependence

Mathematics Subject Classification ID

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

Related Items

Unnamed Item ⋮ Group structure detection for a high‐dimensional panel data model ⋮ Modified LASSO estimators for time series regression models with dependent disturbances ⋮ Performance bounds for parameter estimates of high-dimensional linear models with correlated errors

Uses Software

• glmnet

Cites Work

• The Adaptive Lasso and Its Oracle Properties
• Statistics for high-dimensional data. Methods, theory and applications.
• Nonparametric regression with heteroscedastic long memory errors
• Mixing: Properties and examples
• Asymptotics for Lasso-type estimators.
• Efficient location and regression estimation for long range dependent regression models
• Long memory processes and fractional integration in econometrics
• Sparsity considerations for dependent variables
• Simultaneous analysis of Lasso and Dantzig selector
• High-dimensional graphs and variable selection with the Lasso
• Long-Memory Processes
• Penalized regression models with autoregressive error terms
• Chi-square oracle inequalities
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