Statistics and Its Interface

Volume 13 (2020)

Number 1

Adaptive LASSO Regression against Heteroscedastic Idiosyncratic Factors in the Covariates

Pages: 65 – 75

DOI: https://dx.doi.org/10.4310/SII.2020.v13.n1.a6

Authors

Kaimeng Zhang (Department of Statistics, Chonnam National University, Gwangju, South Korea)

Chi Tim Ng (Department of Statistics, Chonnam National University, Gwangju, South Korea)

Keywords

Factor analysis, global economic interaction, irrespentable condition, adaptive LASSO, penalized regression, selection consistency

2010 Mathematics Subject Classification

Primary 62F12, 62J05. Secondary 62H25.

Full Text (PDF format)

Chi Tim Ng’s work is supported by National Research Foundation of Korea (NRF) grant funded by the Korea government (MSIP) (No. NRF-2017R1C1B2011652) and a research program of Rural Development Administration, Republic of Korea (Project No. PJ01283009).

Received 28 December 2018

Accepted 17 August 2019

Published 7 November 2019