Adaptive Lasso for linear regression models with ARMA-GARCH errors

DOI10.1080/03610918.2015.1096372MaRDI QIDQ4976540zbMATHOpenAlexFDO

Authors Young Joo Yoon, Sooyong Lee, Taewook Lee

Publication date 31 July 2017

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2015.1096372

zbMATH Keywords

variable selectionpenalized regressionadaptive LassoARMA error modelsARMA-GARCH error models

Mathematics Subject Classification ID

Point estimation (62F10) Linear regression; mixed models (62J05) Ridge regression; shrinkage estimators (Lasso) (62J07)

Recommendations

• Lasso based variable selection of ARMA models
• Shrinkage estimation for linear regression with ARMA errors
• Penalized regression models with autoregressive error terms
• Regularization and variable selection for infinite variance autoregressive models
• \(\ell_1\)-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors

Cites work

• A Joint Regression Variable and Autoregressive Order Selection Criterion
• Adaptive Lasso for Cox's proportional hazards model
• Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
• Sparsity and Smoothness Via the Fused Lasso
• Sparsity considerations for dependent variables
• The Adaptive Lasso and Its Oracle Properties
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties

Cited in

(11)

• Lasso based variable selection of ARMA models
• Iteratively reweighted adaptive Lasso for conditional heteroscedastic time series with applications to AR-ARCH type processes
• Mixed \(\ell_2\) and \(\ell_1\)-norm regularization for adaptive detrending with ARMA modeling
• Efficient estimation method for generalized ARFIMA models
• 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
• The Doubly Adaptive LASSO for Vector Autoregressive Models
• Adaptive R-estimation in a linear regression model with ARMA errors
• Penalized regression models with autoregressive error terms
• Penalised inference for lagged dependent regression in the presence of autocorrelated residuals

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