Asymptotics of the adaptive elastic net estimation for conditional heteroscedastic time series models

DOI10.57805/REVSTAT.V20I2.369MaRDI QIDQ5091892zbMATH OpenFDO

Authors Yuanyuan Liao, Lihong Wang

Publication date 27 July 2022

Full work available at URL https://doi.org/10.57805/REVSTAT.V20I2.369

zbMATH Keywords

adaptive elastic netAR-ARCH modelsasymptotic normalityiteratively reweighted algorithmsign consistency

Mathematics Subject Classification ID

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

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Cites work

• Adaptive Lasso for sparse high-dimensional regression models
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• Estimation of nonlinear time series with conditional heteroscedastic variances by iteratively weighted least squares
• scientific article; zbMATH DE number 5957408 (Why is no real title available?)
• scientific article; zbMATH DE number 845714 (Why is no real title available?)
• Improved penalty strategies in linear regression models
• Iteratively reweighted adaptive Lasso for conditional heteroscedastic time series with applications to AR-ARCH type processes
• Martingale Central Limit Theorems
• Nonconcave penalized likelihood with a diverging number of parameters.
• Penalized regression models with autoregressive error terms
• Regularization and Variable Selection Via the Elastic Net
• Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models
• Sharp Thresholds for High-Dimensional and Noisy Sparsity Recovery Using $\ell _{1}$-Constrained Quadratic Programming (Lasso)
• Shrinkage averaging estimation
• Subset ARMA selection via the adaptive Lasso
• Subset selection for vector autoregressive processes using Lasso
• The Adaptive Lasso and Its Oracle Properties
• The adaptive Lasso in high-dimensional sparse heteroscedastic models

Cited in

(1)

• Iteratively reweighted adaptive Lasso for conditional heteroscedastic time series with applications to AR-ARCH type processes

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