2015/02/28 by Florian Ziel · 1 citation
Economics, Econometrics and Finance · Engineering · Mathematics · #Algorithm #Arch #Autoregressive conditional heteroskedasticity #Autoregressive model #Computer science #Econometrics #Engineering #Estimator #Financial Risk and Volatility Modeling #Heteroscedasticity #Homoscedasticity #Lasso (programming language) #Mathematics #Monetary Policy and Economic Impact #Series (stratigraphy) #Statistical Methods and Inference #Statistics #Time series #q-fin.CP #stat.AP #stat.CO #stat.ME #stat.ML
paper · pdf · doi:10.1016/j.csda.2015.11.016
published as Computational Statistics & Data Analysis, 100 (2016) 773-793
arxiv created 2015/12/05 · openalex publication_date 2015/12/05 · arxiv updated 2016/06/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/08/05
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.