SCAD-penalized regression for varying-coefficient models with autoregressive errors

doi:10.1016/j.jmva.2015.02.004

CORC > 上海财经大学 > 上海财经大学

	SCAD-penalized regression for varying-coefficient models with autoregressive errors
	Qiu, Jia; Li, Degao; You, Jinhong
刊名	JOURNAL OF MULTIVARIATE ANALYSIS
	2015-05
卷号	137 页码:100-118
关键词	Varying-coefficient Local linear regression Autoregressive error SCAD penalty Pre-whitening transformation
ISSN号	0047-259X
DOI	10.1016/j.jmva.2015.02.004
英文摘要	Varying-coefficient models are useful extension of classical linear models. This paper is concerned with the statistical inference of varying-coefficient regression models with autoregressive errors. By combining the estimated residuals, the smoothly clipped absolute deviation (SCAD) penalty and Yule-Walker equations, a novel method is proposed to fit the error structure, including determining the order of the autoregressive error and efficiently estimating the autoregressive parameters. With appropriate selection of the tuning parameters, we establish the consistency of this method and the oracle property of the resulting regularized estimators. Based on the fitted autoregressive error structure, we further propose a two-stage local linear estimation for the unknown coefficient functions of the mean model to improve efficiency. The procedure is based on a pre-whitening transformation of the dependent variable. The resultant estimator of the unknown coefficient functions is asymptotically efficient and has the same asymptotic distribution as it would be if the autoregressive error structure were known with certainty. Simulation studies demonstrate that our asymptotic theory is applicable for finite samples, and the analysis of two real data sets illustrates the usefulness of our developed methodologies. (C) 2015 Elsevier Inc. All rights reserved.
WOS研究方向	Mathematics
语种	英语
出版者	ELSEVIER INC
WOS记录号	WOS:000353934600007
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/1551]
专题	上海财经大学
通讯作者	You, Jinhong
作者单位	Shanghai Univ Finance & Econ, Shanghai Key Lab Financial Informat Technol SUFE, Key Lab Math Econ SUFE, Sch Stat & Management, Shanghai 200433, Peoples R China
推荐引用方式 GB/T 7714	Qiu, Jia,Li, Degao,You, Jinhong. SCAD-penalized regression for varying-coefficient models with autoregressive errors[J]. JOURNAL OF MULTIVARIATE ANALYSIS,2015,137:100-118.
APA	Qiu, Jia,Li, Degao,&You, Jinhong.(2015).SCAD-penalized regression for varying-coefficient models with autoregressive errors.JOURNAL OF MULTIVARIATE ANALYSIS,137,100-118.
MLA	Qiu, Jia,et al."SCAD-penalized regression for varying-coefficient models with autoregressive errors".JOURNAL OF MULTIVARIATE ANALYSIS 137(2015):100-118.