Penalised inference for lagged dependent regression in the presence of autocorrelated residuals

Penalised inference for lagged dependent regression in the presence of autocorrelated residuals This paper deals with linear models for a time-dependent response and explanatory variables in a high-dimensional setting. We account for the time dependency in the data by explicitly adding autoregressive terms to the response variable in the model together with an autoregressive process for the residuals. We present a penalized likelihood approach for parameter estimation and discuss its theoretical properties. Finally, we show the successful application of the proposed methodology on simulated data and on two real applications, where we model air pollution and stock market indices, respectively. We provide an implementation of the method in the R package DREGAR, freely available on CRAN, http://CRAN.R-project.org/package=DREGAR . http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png METRON Springer Journals

Penalised inference for lagged dependent regression in the presence of autocorrelated residuals

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Publisher
Springer Journals
Copyright
Copyright © 2017 by The Author(s)
Subject
Statistics; Statistics, general; Statistical Theory and Methods
ISSN
0026-1424
eISSN
2281-695X
D.O.I.
10.1007/s40300-017-0121-3
Publisher site
See Article on Publisher Site

Abstract

This paper deals with linear models for a time-dependent response and explanatory variables in a high-dimensional setting. We account for the time dependency in the data by explicitly adding autoregressive terms to the response variable in the model together with an autoregressive process for the residuals. We present a penalized likelihood approach for parameter estimation and discuss its theoretical properties. Finally, we show the successful application of the proposed methodology on simulated data and on two real applications, where we model air pollution and stock market indices, respectively. We provide an implementation of the method in the R package DREGAR, freely available on CRAN, http://CRAN.R-project.org/package=DREGAR .

Journal

METRONSpringer Journals

Published: Sep 9, 2017

References

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