Oracle model selection for correlated data via residuals

DOI10.1080/03610926.2018.1485946OpenAlexW2900416647MaRDI QIDQ5076884

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Publication date: 17 May 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2018.1485946

zbMATH Keywords

autoregressive time seriesadaptive Lassooracally efficient estimatorsoracle model selection proceduretrend B-spline

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07)

Related Items (1)

Model selection for time series with nonlinear trend

Uses Software

• FitAR

Cites Work

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• The Adaptive Lasso and Its Oracle Properties
• Polynomial spline confidence bands for time series trend
• Shrinkage estimation for linear regression with ARMA errors
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• Subset ARMA selection via the adaptive Lasso
• Exploratory spectral analysis of hydrological times series
• Autoregressive coefficient estimation in nonparametric analysis
• A plug-in the number of knots selector for polynomial spline regression
• Partial autocorrelation parameterization for subset autoregression
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
• Oracally Efficient Estimation and Consistent Model Selection for Auto-Regressive Moving Average Time Series with Trend

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