Polynomial spline approach for variable selection and estimation in varying coefficient models for time series data
journal contribution
posted on 2021-11-05, 13:57authored byPeng Lai, Jie MengJie Meng, Heng Lian
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.
Funding
National Natural Science Foundation of China grant 11301279
Natural Science Foundation of the Jiangsu Higher Education Institutions of China grant 12KJB110016
Natural Science Foundation of Jiangsu Province of China grant BK20140983
This paper was accepted for publication in the journal Statistics & Probability Letters and the definitive published version is available at https://doi.org/10.1016/j.spl.2014.09.008.