Journal article
Penalized maximum likelihood estimation of a stochastic multivariate regression model
Statistics & probability letters, Vol.80(21), pp.1643-1649
2010
DOI: 10.1016/j.spl.2010.07.005
Abstract
We study the large-sample properties of the penalized maximum likelihood estimator of a multivariate stochastic regression model with contemporaneously correlated data. The penalty is in terms of the square norm of some (vector) linear function of the regression coefficients. The model subsumes the so-called common transfer function model useful for extracting common signals in a panel of short time series. We show that, under mild regularity conditions, the penalized maximum likelihood estimator is consistent and asymptotically normal. The asymptotic bias of the regression coefficient estimator is also derived.
Details
- Title: Subtitle
- Penalized maximum likelihood estimation of a stochastic multivariate regression model
- Creators
- Elizabeth Hansen - Department of Mathematics, 476 Morgan Hall, 1 University Circle, Macomb, IL 61455, USAKung-Sik Chan - Department of Statistics and Actuarial Science, Schaeffer Hall 263, University of Iowa, IA 52242, USA
- Resource Type
- Journal article
- Publication Details
- Statistics & probability letters, Vol.80(21), pp.1643-1649
- Publisher
- Elsevier B.V
- DOI
- 10.1016/j.spl.2010.07.005
- ISSN
- 0167-7152
- eISSN
- 1879-2103
- Language
- English
- Date published
- 2010
- Academic Unit
- Statistics and Actuarial Science; Radiology
- Record Identifier
- 9983985833202771
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