Simultaneous sparse model selection and coefficient estimation for heavy-tailed autoregressive processes

DOI10.1080/02331888.2013.848865zbMATH Open1369.62237arXiv1112.2682OpenAlexW2963269983MaRDI QIDQ5263975FDOQ5263975

Hailin Sang, Yan Sun

Publication date: 20 July 2015

Published in: Statistics (Search for Journal in Brave)

Abstract: We propose a sparse coefficient estimation and automated model selection procedure for autoregressive (AR) processes with heavy-tailed innovations based on penalized conditional maximum likelihood. Under mild moment conditions on the innovation processes, the penalized conditional maximum likelihood estimator (PCMLE) satisfies a strong consistency, $O_P(N^{-1/2})$ consistency, and the oracle properties, where N is the sample size. We have the freedom in choosing penalty functions based on the weak conditions on them. Two penalty functions, least absolute shrinkage and selection operator (LASSO) and smoothly clipped average deviation (SCAD), are compared. The proposed method provides a distribution-based penalized inference to AR models, which is especially useful when the other estimation methods fail or under perform for AR processes with heavy-tailed innovations (see cite{Resnick}). A simulation study confirms our theoretical results. At the end, we apply our method to a historical price data of the US Industrial Production Index for consumer goods, and obtain very promising results.

Full work available at URL: https://arxiv.org/abs/1112.2682

zbMATH Keywords

strong consistencyheavy tailscausalityautoregressive processoracle propertiespenalized maximum likelihood estimation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10)

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Cited In (3)

• Bayesian empirical likelihood inference and order shrinkage for autoregressive models
• Sparseness, consistency and model selection for Markov regime-switching Gaussian autoregressive models
• Penalized multiply robust estimation in high-order autoregressive processes with missing explanatory variables

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