Penalized maximum likelihood estimation of a stochastic multivariate regression model

DOI10.1016/J.SPL.2010.07.005zbMath1195.62084OpenAlexW2034049367MaRDI QIDQ1957159

Kung-Sik Chan, Elizabeth Hansen

Publication date: 24 September 2010

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2010.07.005

zbMATH Keywords

consistencyasymptotic normalitystationaritycontemporaneous correlationmartingale central limit theorem

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Asymptotic distribution theory in statistics (62E20)

Cites Work

• Optimal smoothing with correlated data
• Maximum penalized likelihood estimation. Volume II: Regression
• On the distribution of the adaptive LASSO estimator
• Asymptotics for Lasso-type estimators.
• Asymptotic Statistics
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Penalized maximum likelihood estimation of a stochastic multivariate regression model