We derive new theoretical results on the properties of the adaptive least absolute shrinkage and selection operator (adaptive lasso) for time series regression models. In particular we investigate the question of how to conduct finite sample inference on the parameters given an adaptive lasso...

We introduce a wild multiplicative bootstrap for M and GMM estimators in nonlinear models when autocorrelation structures of moment functions are unknown. The implementation of the bootstrap algorithm does not require any parametric assumptions on the data generating process. After proving its...

Typical heart rate variability (HRV) times series are cluttered with outliers generated by measurement errors, artifacts and ectopic beats. Robust estimation is an important tool in HRV analysis, since it allows clinicians to detect arrhythmia and other anomalous patterns by reducing the impact...