Semiparametric time series regression modeling with a diverging number of parameters

DOI10.1111/STAN.12121MaRDI QIDQ6089164zbMATH OpenOpenAlexFDO

Authors Sheng-chao Zheng, Degao Li

Publication date 14 December 2023

Published in Statistica Neerlandica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/stan.12121

zbMATH Keywords

asymptotic normalityautoregressive errorconsistencyhigh-dimensional data

Mathematics Subject Classification ID

Nonparametric inference (62Gxx) Linear inference, regression (62Jxx) Inference from stochastic processes (62Mxx)

Recommendations

• SIGNIFICANT VARIABLE SELECTION AND AUTOREGRESSIVE ORDER DETERMINATION FOR TIME‐SERIES PARTIALLY LINEAR MODELS
• Model and variable selection procedures for semiparametric time series regression
• Semiparametric model building for regression models with time-varying parameters
• Semiparametric Non-Linear Time Series Model Selection
• Quantile regression for dynamic partially linear varying coefficient time series models

Cites work

• A distribution-free theory of nonparametric regression
• Convergence rates for parametric components in a partly linear model
• Estimation and testing for partially linear single-index models
• scientific article; zbMATH DE number 4011660 (Why is no real title available?)
• scientific article; zbMATH DE number 1533566 (Why is no real title available?)
• scientific article; zbMATH DE number 845714 (Why is no real title available?)
• Local polynomial estimation in partial linear regression models under dependence
• Nearly unbiased variable selection under minimax concave penalty
• Nonconcave penalized likelihood with a diverging number of parameters.
• Nonconcave penalized M-estimation with a diverging number of parameters
• Nonlinear Time Series
• Nonlinear time series. Nonparametric and parametric methods
• Partially linear models with missing response variables and error-prone covariates
• Regression coefficient and autoregressive order shrinkage and selection via the lasso
• SCAD-penalized regression in high-dimensional partially linear models
• Semiparametric generalized least squares estimation in partially linear regression models with correlated errors
• Semiparametric Regression for the Applied Econometrician
• SIGNIFICANT VARIABLE SELECTION AND AUTOREGRESSIVE ORDER DETERMINATION FOR TIME‐SERIES PARTIALLY LINEAR MODELS
• Time series: theory and methods.
• Tuning parameter selectors for the smoothly clipped absolute deviation method
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties

Cited in

(2)

• Partially linear models with \(p\)-order autoregressive skew-normal errors
• Additive models with p -order autoregressive skew-normal errors for modeling trend and seasonality in time series

This page was built for publication: Semiparametric time series regression modeling with a diverging number of parameters

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6089164)