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

Research output: Journal Publications and ReviewsRGC 21 - Publication in refereed journalpeer-review

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Author(s)

Detail(s)

Original languageEnglish
Pages (from-to)21-27
Journal / PublicationStatistics and Probability Letters
Volume96
Publication statusPublished - 1 Jan 2015
Externally publishedYes

Abstract

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