Oracle model selection for correlated data via residuals

DOI10.1080/03610926.2018.1485946MaRDI QIDQ5076884zbMATH OpenOpenAlexFDO

Authors

Publication date 17 May 2022

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2018.1485946

zbMATH Keywords

adaptive Lassoautoregressive time seriesoracally efficient estimatorsoracle model selection proceduretrend B-spline

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Ridge regression; shrinkage estimators (Lasso) (62J07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• A plug-in the number of knots selector for polynomial spline regression
• Autoregressive coefficient estimation in nonparametric analysis
• Autoregressive process modeling via the Lasso procedure
• Exploratory spectral analysis of hydrological times series
• scientific article; zbMATH DE number 1219611 (Why is no real title available?)
• scientific article; zbMATH DE number 842531 (Why is no real title available?)
• scientific article; zbMATH DE number 845714 (Why is no real title available?)
• Oracally Efficient Estimation and Consistent Model Selection for Auto-Regressive Moving Average Time Series with Trend
• Partial autocorrelation parameterization for subset autoregression
• Polynomial spline confidence bands for regression curves
• Polynomial spline confidence bands for time series trend
• Shrinkage estimation for linear regression with ARMA errors
• Subset ARMA selection via the adaptive Lasso
• The Adaptive Lasso and Its Oracle Properties
• Time series analysis. Univariate and multivariate methods.
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties

Cited in

(2)

• Model selection for time series with nonlinear trend
• Oracle M-estimation for time series models

Describes a project that uses

Uses Software

• FitAR

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