Detection of similar successive groups in a model with diverging number of variable groups
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F20%3A10419912" target="_blank" >RIV/00216208:11320/20:10419912 - isvavai.cz</a>
Result on the web
<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=uu5jxgJ1vB" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=uu5jxgJ1vB</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1080/07474946.2020.1726687" target="_blank" >10.1080/07474946.2020.1726687</a>
Alternative languages
Result language
angličtina
Original language name
Detection of similar successive groups in a model with diverging number of variable groups
Original language description
In this article, a linear model with grouped explanatory variables is considered. The idea is to perform an automatic detection of different successive groups of the unknown coefficients under the assumption that the number of groups is of the same order as the sample size. The standard least squares loss function and the quantile loss function are both used together with the fused and adaptive fused penalty to simultaneously estimate and group the unknown parameters. The proper convergence rate is given for the obtained estimators and the upper bound for the number of different successive group is derived. A simulation study is used to compare the empirical performance of the proposed fused and adaptive fused estimators, and a real application on the air quality data demonstrates the practical applicability of the proposed methods.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
10103 - Statistics and probability
Result continuities
Project
<a href="/en/project/GJ18-00522Y" target="_blank" >GJ18-00522Y: Advanced Econometric Models for Option Pricing – AdEMOP</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2020
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Sequential Analysis
ISSN
0747-4946
e-ISSN
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Volume of the periodical
39
Issue of the periodical within the volume
1
Country of publishing house
US - UNITED STATES
Number of pages
23
Pages from-to
92-114
UT code for WoS article
000532639000006
EID of the result in the Scopus database
2-s2.0-85084832257