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Autoregressive process modeling via the Lasso procedure

  • Nardi, Y.
  • Rinaldo, A.
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    The Lasso is a popular model selection and estimation procedure for linear models that enjoys nice theoretical properties. In this paper, we study the Lasso estimator for fitting autoregressive time series models. We adopt a double asymptotic framework where the maximal lag may increase with the sample size. We derive theoretical results establishing various types of consistency. In particular, we derive conditions under which the Lasso estimator for the autoregressive coefficients is model selection consistent, estimation consistent and prediction consistent. Simulation study results are reported.

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    File URL: http://www.sciencedirect.com/science/article/B6WK9-51CJ37F-1/2/217eb9c3137058306fba7b732fd678d7
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    Article provided by Elsevier in its journal Journal of Multivariate Analysis.

    Volume (Year): 102 (2011)
    Issue (Month): 3 (March)
    Pages: 528-549

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    Handle: RePEc:eee:jmvana:v:102:y:2011:i:3:p:528-549
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    1. Hansheng Wang & Guodong Li & Chih-Ling Tsai, 2007. "Regression coefficient and autoregressive order shrinkage and selection via the lasso," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 69(1), pages 63-78.
    2. Pradeep Ravikumar & John Lafferty & Han Liu & Larry Wasserman, 2009. "Sparse additive models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 71(5), pages 1009-1030.
    3. 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.
    4. Zou, Hui, 2006. "The Adaptive Lasso and Its Oracle Properties," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 1418-1429, December.
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