Simultaneous sparse model selection and coefficient estimation for heavy-tailed autoregressive processes

DOI10.1080/02331888.2013.848865zbMath1369.62237arXiv1112.2682OpenAlexW2963269983MaRDI QIDQ5263975

Hailin Sang, Yan Sun

Publication date: 20 July 2015

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1112.2682

zbMATH Keywords

causalityheavy tailsstrong consistencyautoregressive processoracle propertiespenalized maximum likelihood estimation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10)

Related Items (2)

Bayesian empirical likelihood inference and order shrinkage for autoregressive models ⋮ Penalized multiply robust estimation in high-order autoregressive processes with missing explanatory variables

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