Article ID Journal Published Year Pages File Type
7546263 Journal of the Korean Statistical Society 2017 16 Pages PDF
Abstract
This article is concerned with the regularized estimation methodology for generalized pth-order integer-valued autoregressive (GINAR(p)) process, especially when the regression coefficients are sparse. Under some mild regularity conditions, we show that the regularized estimators perform as well as if the correct submodel was known. The oracle properties of the estimators are established. Extensive Monte Carlo simulation studies demonstrate that the proposed procedure works well. To illustrate its usefulness, an application to a real data about epileptic patient is also provided.
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
Authors
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