Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1151555 | Statistics & Probability Letters | 2015 | 7 Pages |
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Peng Lai, Jie Meng, Heng Lian,