Lasso with long memory regression errors
From MaRDI portal
Publication:2250693
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
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
Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Ridge regression; shrinkage estimators (Lasso) (62J07)
Cites Work
- The Adaptive Lasso and Its Oracle Properties
- Title not available (Why is that?)
- Statistics for high-dimensional data. Methods, theory and applications.
- Mixing: Properties and examples
- Simultaneous analysis of Lasso and Dantzig selector
- High-dimensional graphs and variable selection with the Lasso
- Restricted eigenvalue properties for correlated Gaussian designs
- Title not available (Why is that?)
- Asymptotics for Lasso-type estimators.
- Long memory processes and fractional integration in econometrics
- Large sample inference for long memory processes
- Long-memory processes. Probabilistic properties and statistical methods
- Title not available (Why is that?)
- Penalized regression models with autoregressive error terms
- Chi-square oracle inequalities
- Nonparametric regression with heteroscedastic long memory errors
- Efficient location and regression estimation for long range dependent regression models
- Sparsity considerations for dependent variables
Cited In (7)
- Modified LASSO estimators for time series regression models with dependent disturbances
- 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
- Lasso for sparse linear regression with exponentially \(\beta\)-mixing errors
- A Bernstein-type inequality for high dimensional linear processes with applications to robust estimation of time series regressions
- Performance bounds for parameter estimates of high-dimensional linear models with correlated errors
Uses Software
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)
