The method of sieves has been widely used in estimating semiparametric and nonparametric models. In this paper, we first provide a general theory on the asymptotic normality of plug-in sieve M estimators of possibly irregular functionals of semi/nonparametric time series models. Next, we...

In this paper, we derive a rate of convergence of the Lasso estimator when the penalty parameter Lambda for the estimator is chosen using K-fold cross-validation; in particular, we show that in the model with Gaussian noise and under fairly general assumptions on the candidate set of values of...