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Your search keyword '"Estimation theory"' showing total 2 results
2 results on '"Estimation theory"'

1. Lasso for sparse linear regression with exponentially [formula omitted]-mixing errors.

Author

Xie, Fang, Xu, Lihu, and Yang, Youcai

Subjects
*ESTIMATION theory, *REGRESSION analysis, *MATHEMATICAL models, *LINEAR systems, *STATISTICAL sampling
Abstract

We prove two consistency theorems for the lasso estimators of sparse linear regression models with exponentially β - mixing errors, in which the number of regressors p is large, even much larger than the sample size n . [ABSTRACT FROM AUTHOR]

Published
2017
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2. Penalized maximum likelihood estimation of a stochastic multivariate regression model

Author

Hansen, Elizabeth and Chan, Kung-Sik

Subjects
*REGRESSION analysis, *STATISTICAL correlation, *TIME series analysis, *ESTIMATION theory, *MATHEMATICAL models, *TRANSFER functions, *CENTRAL limit theorem
Abstract

Abstract: We study the large-sample properties of the penalized maximum likelihood estimator of a multivariate stochastic regression model with contemporaneously correlated data. The penalty is in terms of the square norm of some (vector) linear function of the regression coefficients. The model subsumes the so-called common transfer function model useful for extracting common signals in a panel of short time series. We show that, under mild regularity conditions, the penalized maximum likelihood estimator is consistent and asymptotically normal. The asymptotic bias of the regression coefficient estimator is also derived. [ABSTRACT FROM AUTHOR]

Published
2010
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