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Oracle M-Estimation for Time Series Models

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  • Mihai C. Giurcanu

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  • Mihai C. Giurcanu, 2017. "Oracle M-Estimation for Time Series Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(3), pages 479-504, May.
    • Handle: RePEc:bla:jtsera:v:38:y:2017:i:3:p:479-504
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    File URL: http://hdl.handle.net/10.1111/jtsa.12221
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    14. Fan J. & Li R., 2001. "Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 1348-1360, December.
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