Autoregressive process modeling via the Lasso procedure

DOI10.1016/J.JMVA.2010.10.012zbMATH Open1207.62169arXiv0805.1179OpenAlexW2057990756MaRDI QIDQ631620FDOQ631620

Authors: Yuval Nardi, Alessandro Rinaldo 

Publication date: 14 March 2011

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Abstract: The Lasso is a popular model selection and estimation procedure for linear models that enjoys nice theoretical properties. In this paper, we study the Lasso estimator for fitting autoregressive time series models. We adopt a double asymptotic framework where the maximal lag may increase with the sample size. We derive theoretical results establishing various types of consistency. In particular, we derive conditions under which the Lasso estimator for the autoregressive coefficients is model selection consistent, estimation consistent and prediction consistent. Simulation study results are reported.

Full work available at URL: https://arxiv.org/abs/0805.1179

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zbMATH Keywords

model selectionautoregressive modelestimation consistencyprediction consistency

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07)

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Cited In (53)

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