Penalized regression models with autoregressive error terms

DOI10.1080/00949655.2012.669383zbMath1453.62585OpenAlexW1993030236MaRDI QIDQ5218904

Taewook Lee, Young Joo Yoon, Cheol-Woo Park

Publication date: 6 March 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2012.669383

zbMATH Keywords

consistencyasymptotic normalityvariable selectionpenalized regressionoracle propertyautoregressive error models

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Ridge regression; shrinkage estimators (Lasso) (62J07) Asymptotic properties of nonparametric inference (62G20) Linear regression; mixed models (62J05)

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Uses Software

• ElemStatLearn

Cites Work

• Unnamed Item
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