Browsing Documentos indexados pela Scopus by Subject "Análise de séries temporais"

Now showing items 1-2 of 2

Omitted asymmetric persistence and conditional heteroskedasticity

Lima, Luiz Renato; Néri, Breno de Andrade Pinheiro
2006

We show that asymmetric persistence induces ARCH effects, but the LM-ARCH test has power against it. On the other hand, the test for asymmetric dynamics proposed by Koenker and Xiao (2004) has correct size under the presence ...
ℓ1-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors

Medeiros, Marcelo C.; Mendes, Eduardo Fonseca
2016

We study the asymptotic properties of the Adaptive LASSO (adaLASSO) in sparse, high-dimensional, linear time-series models. The adaLASSO is a one-step implementation of the family of folded concave penalized least-squares. ...