Shrinkage estimation and variable selection in multiple regression models with random coefficient autoregressive errors

DOI10.1016/j.spl.2014.05.020zbMath1396.62169OpenAlexW1964595995MaRDI QIDQ2251707

Saber Fallahpour, S. Ejaz Ahmed

Publication date: 15 July 2014

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2014.05.020

zbMATH Keywords

lassoadaptive lassomultiple regression modelasymptotic bias and riskpenalty and shrinkage estimatorsrandom coefficient autoregressive error

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07)

Related Items

Bayesian LASSO-Regularized quantile regression for linear regression models with autoregressive errors, Efficient estimation method for generalized ARFIMA models, Bayesian bridge-randomized penalized quantile regression estimation for linear regression model with AP(q) perturbation, Quantile regression for linear models with autoregressive errors using EM algorithm

Uses Software

• R
• glmnet
• lars
• parcor

Cites Work

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• The Adaptive Lasso and Its Oracle Properties
• Random coefficient autoregressive models: an introduction
• Multivariate reduced-rank regression
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• Pathwise coordinate optimization
• Coordinate descent algorithms for lasso penalized regression
• Piecewise linear regularized solution paths
• Penalized Bregman divergence for large-dimensional regression and classification
• Shrinkage estimation for the regression parameter matrix in multivariate regression model
• L₁ penalty and shrinkage estimation in partially linear models with random coefficient autoregressive errors
• Random coefficient first-order autoregressive models