Semiparametric time series regression modeling with a diverging number of parameters

doi:10.1111/stan.12121

CORC > 上海财经大学 > 上海财经大学

	Semiparametric time series regression modeling with a diverging number of parameters
	Zheng, Shengchao 1,2; Li, Degao 2,3
刊名	STATISTICA NEERLANDICA
	2018-05
卷号	72 期号:2 页码:90-108
关键词	high-dimensional data autoregressive error consistency asymptotic normality
ISSN号	0039-0402
DOI	10.1111/stan.12121
英文摘要	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 finite-sample performance of the proposed procedure. A real data analysis is made to illustrate the usefulness of the proposed procedure as well.
WOS研究方向	Mathematics
语种	英语
出版者	WILEY
WOS记录号	WOS:000430306300002
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/635]
专题	上海财经大学
通讯作者	Li, Degao
作者单位	1.Shanghai Univ Finance & Econ, Sch Stat & Management, Shanghai, Peoples R China; 2.Jiaxing Univ, Coll Math Phys & Informat Engn, Jiaxing, Zhejiang, Peoples R China; 3.Univ Hong Kong, Dept Stat & Actuarial Sci, Hong Kong, Hong Kong, Peoples R China
推荐引用方式 GB/T 7714	Zheng, Shengchao,Li, Degao. Semiparametric time series regression modeling with a diverging number of parameters[J]. STATISTICA NEERLANDICA,2018,72(2):90-108.
APA	Zheng, Shengchao,&Li, Degao.(2018).Semiparametric time series regression modeling with a diverging number of parameters.STATISTICA NEERLANDICA,72(2),90-108.
MLA	Zheng, Shengchao,et al."Semiparametric time series regression modeling with a diverging number of parameters".STATISTICA NEERLANDICA 72.2(2018):90-108.