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Semiparametric time series regression modeling with a diverging number of parameters.
- Source :
-
Statistica Neerlandica . May2018, Vol. 72 Issue 2, p90-108. 19p. 2 Charts. - Publication Year :
- 2018
-
Abstract
- Variable selection and error structure determination of a partially linear model with time series errors are important issues. In this paper, we investigate the regression coefficient and autoregressive order shrinkage and selection via the smoothly clipped absolute deviation penalty for a partially linear model with a divergent number of covariates and finite order autoregressive time series errors. Both consistency and asymptotic normality of the proposed penalized estimators are derived. The oracle property of the resultant estimators is proved. Simulation studies are carried out to assess the finiteāsample performance of the proposed procedure. A real data analysis is made to illustrate the usefulness of the proposed procedure as well. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 00390402
- Volume :
- 72
- Issue :
- 2
- Database :
- Academic Search Index
- Journal :
- Statistica Neerlandica
- Publication Type :
- Academic Journal
- Accession number :
- 129157830
- Full Text :
- https://doi.org/10.1111/stan.12121