Polynomial spline approach for variable selection and estimation in varying coefficient models for time series data
Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review
Author(s)
Detail(s)
Original language | English |
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Pages (from-to) | 21-27 |
Journal / Publication | Statistics and Probability Letters |
Volume | 96 |
Publication status | Published - 1 Jan 2015 |
Externally published | Yes |
Link(s)
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
Citation Format(s)
Polynomial spline approach for variable selection and estimation in varying coefficient models for time series data. / Lai, Peng; Meng, Jie; Lian, Heng.
In: Statistics and Probability Letters, Vol. 96, 01.01.2015, p. 21-27.
In: Statistics and Probability Letters, Vol. 96, 01.01.2015, p. 21-27.
Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review