Goodness of fit tests and lasso variable selection in time series analysis

Chand, Sohail (2011) Goodness of fit tests and lasso variable selection in time series analysis. PhD thesis, University of Nottingham.

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Abstract

This thesis examines various aspects of time series and their applications. In the rst part, we study numerical and asymptotic properties of Box-Pierce family of portmanteau tests. We compare size and power properties of time series model diagnostic tests using their asymptotic c2 distribution and bootstrap distribution (dynamic and fixed design) against various linear and non-linear alternatives. In general, our results show that dynamic bootstrapping provides a better approximation of the distribution underlying these statistics. Moreover, we find that Box-Pierce type tests are powerful against linear alternatives while the CvM due to Escanciano (2006b) test performs better against non linear alternative models.

The most challenging scenario for these portmanteau tests is when the process is close to the stationary boundary and value of m, the maximum lag considered in the portmanteau test, is very small. In these situations, the c2 distribution is a poor approximation of the null asymptotic distribution. Katayama (2008) suggested a bias correction term to improve the approximation in these situations. We numerically study Katayama's bias correction in Ljung and Box (1978) test. Our results show that Katayama's correction works well and conrms the results as shown in Katayama (2008). We also provide a number of algorithms for performing the necessary calculations efciently.

We notice that the bootstrap automatically does bias correction in Ljung-Box statistic. It motivates us to look at theoretical properties of the dynamic bootstrap in this context. Moreover, noticing the good performance of Katayama's correction, we suggest a bias correction term for the Monti (1994) test on the lines of Katayama's correction. We show that our suggestion improves Monti's statistic in a similar way to what Katayama's suggestion does for Ljung-Box test. We also make a novel suggestion of using the pivotal portmanteau test. Our suggestion is to use two separate values of m, one a large value for the calculation of the information matrix and a smaller choice for diagnostic purposes. This results in a pivotal statistic which automatically corrects the bias correction in Ljung-Box test. Our suggested novel algorithm efciently computes this novel portmanteau test.

In the second part, we implement lasso-type shrinkage methods to linear regression and time series models. We look through simulations in various examples to study the oracle properties of these methods via the adaptive lasso due to Zou (2006). We study consistent variable selection by the lasso and adaptive lasso and consider a result in the literature which states that the lasso cannot be consistent in variable selection if a necessary condition does not hold for the model. We notice that lasso methods have nice theoretical properties but it is not very easy to achieve them in practice.

The choice of tuning parameter is crucial for these methods. So far there is not any fully explicit way of choosing the appropriate value of tuning parameter, so it is hard to achieve the oracle properties in practice. In our numerical study, we compare the performance of k-fold cross-validation with the BIC method of Wang et al. (2007) for selecting the appropriate value of the tuning parameter. We show that k-fold crossvalidation is not a reliable method for choosing the value of the tuning parameter for consistent variable selection.

We also look at ways to implement lasso-type methods time series models. In our numerical results we show that the oracle properties of lasso-type methods can also be achieved for time series models. We derive the necessary condition for consistent variable selection by lasso-type methods in the time series context. We also prove the oracle properties of the adaptive lasso for stationary time series.

Item Type:Thesis (PhD)
Supervisors:Wood, A.T.A
Brignell, C.J.
Uncontrolled Keywords:Goodness of fit tests, Bootstrap methods, Lasso, Variable selection
Faculties/Schools:UK Campuses > Faculty of Science > School of Mathematical Sciences
ID Code:2019
Deposited By:Dr. Sohail Chand
Deposited On:28 Oct 2011 15:56
Last Modified:28 Oct 2011 15:56

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