条件异方差的迭代加权自适应套索

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英文标题：
《Iteratively reweighted adaptive lasso for conditional heteroscedastic
  time series with applications to AR-ARCH type processes》
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作者：
Florian Ziel
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最新提交年份：
2015
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英文摘要：
  Shrinkage algorithms are of great importance in almost every area of statistics due to the increasing impact of big data. Especially time series analysis benefits from efficient and rapid estimation techniques such as the lasso. However, currently lasso type estimators for autoregressive time series models still focus on models with homoscedastic residuals. Therefore, an iteratively reweighted adaptive lasso algorithm for the estimation of time series models under conditional heteroscedasticity is presented in a high-dimensional setting. The asymptotic behaviour of the resulting estimator is analysed. It is found that the proposed estimation procedure performs substantially better than its homoscedastic counterpart. A special case of the algorithm is suitable to compute the estimated multivariate AR-ARCH type models efficiently. Extensions to the model like periodic AR-ARCH, threshold AR-ARCH or ARMA-GARCH are discussed. Finally, different simulation results and applications to electricity market data and returns of metal prices are shown.
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中文摘要：
由于大数据的影响越来越大，收缩算法在统计的几乎每个领域都非常重要。特别是时间序列分析得益于套索等高效快速的估计技术。然而，目前自回归时间序列模型的套索型估计仍然集中在具有同余残差的模型上。因此，在高维环境下，提出了一种用于条件异方差下时间序列模型估计的迭代加权自适应lasso算法。分析了所得估计量的渐近性态。结果发现，所提出的估计方法的性能明显优于它的同余同余同余同余同余同余同余同余同余同余同余同余同余同余同余同余同余。该算法的一个特例适用于高效计算估计的多元AR-ARCH型模型。讨论了周期AR-ARCH、阈值AR-ARCH或ARMA-GARCH等模型的扩展。最后，给出了不同的模拟结果以及对电力市场数据和金属价格回报的应用。
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分类信息：

一级分类：Statistics        统计学
二级分类：Methodology        方法论
分类描述：Design, Surveys, Model Selection, Multiple Testing, Multivariate Methods, Signal and Image Processing, Time Series, Smoothing, Spatial Statistics, Survival Analysis, Nonparametric and Semiparametric Methods
设计，调查，模型选择，多重检验，多元方法，信号和图像处理，时间序列，平滑，空间统计，生存分析，非参数和半参数方法
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一级分类：Quantitative Finance        数量金融学
二级分类：Computational Finance        计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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一级分类：Statistics        统计学
二级分类：Applications        应用程序
分类描述：Biology, Education, Epidemiology, Engineering, Environmental Sciences, Medical, Physical Sciences, Quality Control, Social Sciences
生物学，教育学，流行病学，工程学，环境科学，医学，物理科学，质量控制，社会科学
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一级分类：Statistics        统计学
二级分类：Computation        计算
分类描述：Algorithms, Simulation, Visualization
算法、模拟、可视化
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一级分类：Statistics        统计学
二级分类：Machine Learning        机器学习
分类描述：Covers machine learning papers (supervised, unsupervised, semi-supervised learning, graphical models, reinforcement learning, bandits, high dimensional inference, etc.) with a statistical or theoretical grounding
覆盖机器学习论文（监督，无监督，半监督学习，图形模型，强化学习，强盗，高维推理等）与统计或理论基础
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关键词：条件异方差 异方差 Applications Multivariate epidemiology