Weighted l1‐Penalized Corrected Quantile Regression for High‐Dimensional Temporally Dependent Measurement Errors

DOI10.1111/jtsa.12703MaRDI QIDQ6135357

Nilanjan Chakraborty, Hira L. Koul, Monika Bhattacharjee

Publication date: 24 August 2023

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

zbMATH Keywords

model selection consistencyMassart's inequality for dependent r.v.'sweighted and adaptive weighted Lasso

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05) Inference from stochastic processes (62Mxx)

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