Regularization and variable selection for infinite variance autoregressive models

DOI10.1016/J.JSPI.2012.03.014zbMATH Open1253.62065OpenAlexW2103244880MaRDI QIDQ447619FDOQ447619

Authors: Ganggang Xu, Yanbiao Xiang, Suojin Wang, Zhengyan Lin 

Publication date: 4 September 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.2012.03.014

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zbMATH Keywords

adaptive lassoleast absolute deviationinfinite variance

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Estimating the dimension of a model
• The Adaptive Lasso and Its Oracle Properties
• Title not available (Why is that?)
• One-step sparse estimates in nonconcave penalized likelihood models
• Asymptotics for Lasso-type estimators.
• Adaptive Lasso for sparse high-dimensional regression models
• Regression coefficient and autoregressive order shrinkage and selection via the lasso
• Title not available (Why is that?)
• On the asymptotics of constrained \(M\)-estimation
• Quantile smoothing splines
• A simple general approach to inference about the tail of a distribution
• Heavy tail modeling and teletraffic data. (With discussions and rejoinder)
• Title not available (Why is that?)
• M-estimation for autoregression with infinite variance
• Self-Weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models
• Title not available (Why is that?)
• Wold decomposition, prediction and parameterization of stationary processes with infinite variance
• Regularity and minimality of infinite variance processes
• Consistency of Araike's information criterion for infinite variance autoregressive processes
• COBS: qualitatively constrained smoothing via linear programming
• Dealing with the multiplicity of solutions of the \(\ell _{1}\) and \(\ell _{\infty }\) regression models
• "Infinite Variance" and Research Strategy in Time Series Analysis
• Title not available (Why is that?)

Cited In (2)

• Efficient maximum approximated likelihood inference for Tukey's \(g\)-and-\(h\) distribution
• Model selection for infinite variance time series

Uses Software

• R
• COBS

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