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Abstract Details
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Activity Number:
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29
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Type:
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Contributed
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Date/Time:
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Sunday, July 29, 2012 : 2:00 PM to 3:50 PM
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Sponsor:
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Section on Nonparametric Statistics
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| Abstract - #304586 |
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Title:
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Model-Building for Partially Time-Varying Coefficient Models
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Author(s):
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Ting Zhang*+
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Companies:
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The University of Chicago
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Address:
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Department of Statistics, Chicago, IL, 60637, United States
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Keywords:
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Hard thresholding ;
Information criterion ;
LASSO ;
Partially time-varying coefficient models ;
SCAD ;
Variable selection
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Abstract:
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I consider the problem of model identification for partially time-varying coefficient models where both the covariates and errors are modeled as locally stationary time series. I first introduce a local linear shrinkage method which is capable of doing variable selection and parameter estimation simultaneously in a computationally efficient manner. Due to the fear of loosing efficiency, an information criterion is further proposed for distinguishing time-varying and time-invariant components. Numerical examples are presented to illustrate the proposed methods.
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The address information is for the authors that have a + after their name.
Authors who are presenting talks have a * after their name.
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