Polynomial spline approach for variable selection and estimation in varying coefficient models for time series data

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalpeer-review

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Original languageEnglish
Pages (from-to)21-27
Journal / PublicationStatistics and Probability Letters
Publication statusPublished - 1 Jan 2015
Externally publishedYes


We propose the penalized estimator with the smoothly clipped absolute deviation (SCAD) penalty for varying coefficient time series models, which in autoregressive models actually performs lag order selection. Theoretical properties are established. Some numerical examples are also presented.

Research Area(s)

  • Autoregressive models, B-spline basis, BIC, SCAD penalty