On a Semiparametric Data‐Driven Nonlinear Model with Penalized Spatio‐Temporal Lag Interactions

DOI10.1111/jtsa.12442zbMath1418.62298OpenAlexW2904549092MaRDI QIDQ5377200

Jun Zhu, Zhenyu Jiang, Dawlah al-Sulami, Zu-di Lu

Publication date: 23 May 2019

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://eprints.soton.ac.uk/426419/1/revision_R2_v2.pdf

zbMATH Keywords

regularizationspatial statisticstime seriesnonlinear regressionadaptive Lassoasymptotic property

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from spatial processes (62M30) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07)

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