Simultaneous variable selection and structural identification for time‐varying coefficient models
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Publication:5095822
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Cites work
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- Adaptive semi-varying coefficient model selection
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- Coordinate descent algorithms for nonconvex penalized regression, with applications to biological feature selection
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- scientific article; zbMATH DE number 845714 (Why is no real title available?)
- Inference of time-varying regression models
- Inference of Trends in Time Series
- Joint structure selection and estimation in the time-varying coefficient Cox model
- Least angle regression. (With discussion)
- Local linear quantile estimation for nonstationary time series
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- Nearly unbiased variable selection under minimax concave penalty
- Non-parametric estimation of time varying AR(1)-processes with local stationarity and periodicity
- Nonlinear system theory: Another look at dependence
- Nonlinear wavelet estimation of time-varying autoregressive processes
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- On the Kullback-Leibler information divergence of locally stationary processes
- On the Non-Negative Garrotte Estimator
- One-step sparse estimates in nonconcave penalized likelihood models
- Profile likelihood inferences on semiparametric varying-coefficient partially linear models
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- Shrinkage estimation of the varying coefficient model
- Simultaneous confidence bands and hypothesis testing in varying-coefficient models
- Simultaneous inference of linear models with time varying coefficients
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- The Adaptive Lasso and Its Oracle Properties
- Trending time-varying coefficient time series models with serially correlated errors
- Tuning parameter selectors for the smoothly clipped absolute deviation method
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- Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
Cited in
(4)- Estimating overidentified, nonrecursive, time-varying coefficients structural vector autoregressions
- Structural identification and variable selection in high-dimensional varying-coefficient models
- A Stratified Penalized Kernel Method for Semiparametric Variable Labeling and Estimation of Multi-Output Time-Varying Coefficient Models for Nonstationary Time Series
- Linear partially time-varying coefficient spatial panel data model with fixed effects
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