• Title/Summary/Keyword: VAR-LASSO

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Robust estimation of sparse vector autoregressive models (희박 벡터 자기 회귀 모형의 로버스트 추정)

  • Kim, Dongyeong;Baek, Changryong
    • The Korean Journal of Applied Statistics
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    • v.35 no.5
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    • pp.631-644
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    • 2022
  • This paper considers robust estimation of the sparse vector autoregressive model (sVAR) useful in high-dimensional time series analysis. First, we generalize the result of Xu et al. (2008) that the adaptive lasso indeed has robustness in sVAR as well. However, adaptive lasso method in sVAR performs poorly as the number and sizes of outliers increases. Therefore, we propose new robust estimation methods for sVAR based on least absolute deviation (LAD) and Huber estimation. Our simulation results show that our proposed methods provide more accurate estimation in turn showed better forecasting performance when outliers exist. In addition, we applied our proposed methods to power usage data and confirmed that there are unignorable outliers and robust estimation taking such outliers into account improves forecasting.

Adaptive lasso in sparse vector autoregressive models (Adaptive lasso를 이용한 희박벡터자기회귀모형에서의 변수 선택)

  • Lee, Sl Gi;Baek, Changryong
    • The Korean Journal of Applied Statistics
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    • v.29 no.1
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    • pp.27-39
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    • 2016
  • This paper considers variable selection in the sparse vector autoregressive (sVAR) model where sparsity comes from setting small coefficients to exact zeros. In the estimation perspective, Davis et al. (2015) showed that the lasso type of regularization method is successful because it provides a simultaneous variable selection and parameter estimation even for time series data. However, their simulations study reports that the regular lasso overestimates the number of non-zero coefficients, hence its finite sample performance needs improvements. In this article, we show that the adaptive lasso significantly improves the performance where the adaptive lasso finds the sparsity patterns superior to the regular lasso. Some tuning parameter selections in the adaptive lasso are also discussed from the simulations study.

How to improve oil consumption forecast using google trends from online big data?: the structured regularization methods for large vector autoregressive model

  • Choi, Ji-Eun;Shin, Dong Wan
    • Communications for Statistical Applications and Methods
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    • v.29 no.1
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    • pp.41-51
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    • 2022
  • We forecast the US oil consumption level taking advantage of google trends. The google trends are the search volumes of the specific search terms that people search on google. We focus on whether proper selection of google trend terms leads to an improvement in forecast performance for oil consumption. As the forecast models, we consider the least absolute shrinkage and selection operator (LASSO) regression and the structured regularization method for large vector autoregressive (VAR-L) model of Nicholson et al. (2017), which select automatically the google trend terms and the lags of the predictors. An out-of-sample forecast comparison reveals that reducing the high dimensional google trend data set to a low-dimensional data set by the LASSO and the VAR-L models produces better forecast performance for oil consumption compared to the frequently-used forecast models such as the autoregressive model, the autoregressive distributed lag model and the vector error correction model.

The Spillover Effects of Fluctuations in Apartment Sales Prices in the Capital Region (수도권 아파트 매매가격 변동의 확산효과)

  • Jeong, Jun Ho
    • Journal of the Economic Geographical Society of Korea
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    • v.25 no.1
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    • pp.147-170
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    • 2022
  • This article analyzes the spillover effects by dividing the weekly rate of return on apartment prices in 70 si-gun-gu (local area) in the Capital Region into three periods: the entire period (April 2008~August 2021); the period before the price surge (April 2008~October 2018); and the period of price surge (November, 2018~August 2021), based on a consideration of the cycle of fluctuations in apartment sales prices and the timing of the current government's policy interventions. The results obtained from this analysis are summarized as follows. First, the analysis of the spillover effects is similar to or different from the results of existing work depending on the period. The analysis of the spillover effects on the entire period and the period before the price surge shows that the 'Gangnam' effect exists in the apartment market in the Capital Region. On the other hand, the analysis of the spillover effects on the period of price surge reveals different results than before. The spillover effect index calculated through the analysis of the rolling sample decreases during the decline in the cycle of apartment sales prices, while the opposite trend is shown during the upward period. Looking at the timing between the peak of the spillover effect index and policy interventions, it appears that the government's policy interventions took place after the peak of the spillover effect index in 2017, before the peak in 2018 and 2019, and around or after the peak after 2020.