Shrinkage estimation for linear regression with ARMA errors

DOI10.1016/J.JSPI.2012.02.047MaRDI QIDQ419339zbMATH OpenOpenAlexFDO

Authors Rongning Wu, Qin Wang

Publication date 18 May 2012

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.2012.02.047

zbMATH Keywords

variable selectionoracle estimatormodified lasso

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07) Applications of statistics to environmental and related topics (62P12)

Recommendations

• Application of shrinkage estimation in linear regression models with autoregressive errors
• Adaptive R-estimation in a linear regression model with ARMA errors
• Estimation of a linear regression model with stationary ARMA (p,q) errors
• Least absolute deviation estimation for regression with ARMA errors
• Regression Procedures for ARMA Estimation
• M‐Estimation for regressions with integrated regressors and arma errors

Cites work

• scientific article; zbMATH DE number 4011713 (Why is no real title available?)
• scientific article; zbMATH DE number 3709465 (Why is no real title available?)
• scientific article; zbMATH DE number 845714 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• scientific article; zbMATH DE number 3365044 (Why is no real title available?)
• Asymptotics for Lasso-type estimators.
• Bayes inference in regression models with ARMA\((p,q)\) errors
• Gauss-Newton and M-estimation for ARMA processes with infinite variance
• Least absolute deviation estimation for regression with ARMA errors
• Least squares estimation in the regression model with autoregressive-moving average errors
• M-estimation for autoregression with infinite variance
• On the ``degrees of freedom of the lasso
• Regression Models with Time Series Errors
• Regression coefficient and autoregressive order shrinkage and selection via the lasso
• The Adaptive Lasso and Its Oracle Properties
• \(\ell_1\)-penalized quantile regression in high-dimensional sparse models

Cited in

(16)

• Lasso based variable selection of ARMA models
• Local linear regression for data with AR errors
• Linear Methods for Estimating Arma and Regression Models with Serial Correlation
• Application of shrinkage estimation in linear regression models with autoregressive errors
• Shrinkage estimation and variable selection in multiple regression models with random coefficient autoregressive errors
• Bayesian bridge-randomized penalized quantile regression estimation for linear regression model with AP(q) perturbation
• Bayesian LASSO-Regularized quantile regression for linear regression models with autoregressive errors
• Likelihood-based quantile autoregressive distributed lag models and its applications
• On estimation of nonparametric regression models with autoregressive and moving average errors
• Adaptive Lasso for linear regression models with ARMA-GARCH errors
• Estimation of a linear regression model with stationary ARMA (p,q) errors
• Penalised inference for lagged dependent regression in the presence of autocorrelated residuals
• Oracle model selection for correlated data via residuals
• Asymptotic normality of Huber-Dutter estimators in a linear EV model with AR(1) processes
• Model selection for time series with nonlinear trend
• Quantile regression for linear models with autoregressive errors using EM algorithm

This page was built for publication: Shrinkage estimation for linear regression with ARMA errors

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q419339)