Regularization for stationary multivariate time series

DOI10.1080/14697688.2012.664933MaRDI QIDQ2873031zbMATH OpenOpenAlexFDO

Authors Xiaodong Lin, Yan Sun

Publication date 17 January 2014

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2012.664933

zbMATH Keywords

asymptotic normalitymultivariate GARCHpenaltyregularizationsparsity

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Statistical methods; risk measures (91G70)

Recommendations

• Regularized estimation in sparse high-dimensional time series models
• Multivariate stochastic regression in time series modeling
• Sparsity concepts and estimation procedures for high-dimensional vector autoregressive models
• Recent development of high-dimensional time series analysis
• Factor modelling for high-dimensional time series: inference and model selection

Cites work

• A full-factor multivariate GARCH model
• A group bridge approach for variable selection
• ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Autoregressive process modeling via the Lasso procedure
• Ideal spatial adaptation by wavelet shrinkage
• Modelling Multivariate Volatilities via Conditionally Uncorrelated Components
• Nonparametric estimation of large covariance matrices of longitudinal data
• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
• Regularized estimation of large covariance matrices
• Sparse permutation invariant covariance estimation
• The Adaptive Lasso and Its Oracle Properties
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties

Cited in

(3)

• Regularized estimation in sparse high-dimensional time series models
• Multivariate stochastic regression in time series modeling
• A complete convergence theorem for stationary regularly varying multivariate time series

This page was built for publication: Regularization for stationary multivariate time series

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2873031)