On a Semiparametric Data‐Driven Nonlinear Model with Penalized Spatio‐Temporal Lag Interactions

DOI10.1111/jtsa.12442zbMath1418.62298MaRDI QIDQ5377200

Zhenyu Jiang, Jun Zhu, Zu-di Lu, Dawlah al-Sulami

Publication date: 23 May 2019

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://eprints.soton.ac.uk/426419/1/revision_R2_v2.pdf

zbMATH Keywords

regularization; spatial statistics; time series; nonlinear regression; adaptive Lasso; asymptotic property

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M30: Inference from spatial processes

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62J07: Ridge regression; shrinkage estimators (Lasso)