Polynomial spline approach for variable selection and estimation in varying coefficient models for time series data

Peng Lai, Jie Meng, Heng Lian

Research output: Contribution to journalArticle

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.
Original languageEnglish
Pages (from-to)21-27
Number of pages7
JournalStatistics and Probability Letters
Volume96
DOIs
Publication statusPublished - Jan 2015

Keywords

  • autoregressive models
  • BIC
  • B-spline basis
  • SCAD penalty

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