{"id":"https://openalex.org/W2766292535","doi":"https://doi.org/10.1109/globalsip.2017.8309093","title":"Robust maximum likelihood estimation of sparse vector error correction model","display_name":"Robust maximum likelihood estimation of sparse vector error correction model","publication_year":2017,"publication_date":"2017-11-01","ids":{"openalex":"https://openalex.org/W2766292535","doi":"https://doi.org/10.1109/globalsip.2017.8309093","mag":"2766292535"},"language":"en","primary_location":{"id":"doi:10.1109/globalsip.2017.8309093","is_oa":false,"landing_page_url":"https://doi.org/10.1109/globalsip.2017.8309093","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2017 IEEE Global Conference on Signal and Information Processing (GlobalSIP)","raw_type":"proceedings-article"},"type":"preprint","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5074721617","display_name":"Ziping Zhao","orcid":"https://orcid.org/0000-0002-8668-6263"},"institutions":[{"id":"https://openalex.org/I200769079","display_name":"Hong Kong University of Science and Technology","ror":"https://ror.org/00q4vv597","country_code":"HK","type":"education","lineage":["https://openalex.org/I200769079"]}],"countries":["HK"],"is_corresponding":false,"raw_author_name":"Ziping Zhao","raw_affiliation_strings":["Department of Electronic and Computer Engineering, The Hong Kong University of Science and Technology, Hong Kong"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Electronic and Computer Engineering, The Hong Kong University of Science and Technology, Hong Kong","institution_ids":["https://openalex.org/I200769079"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5054606088","display_name":"Daniel P. Palomar","orcid":"https://orcid.org/0000-0001-5250-4874"},"institutions":[{"id":"https://openalex.org/I200769079","display_name":"Hong Kong University of Science and Technology","ror":"https://ror.org/00q4vv597","country_code":"HK","type":"education","lineage":["https://openalex.org/I200769079"]}],"countries":["HK"],"is_corresponding":false,"raw_author_name":"Daniel P. Palomar","raw_affiliation_strings":["Department of Electronic and Computer Engineering, The Hong Kong University of Science and Technology, Hong Kong"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Electronic and Computer Engineering, The Hong Kong University of Science and Technology, Hong Kong","institution_ids":["https://openalex.org/I200769079"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":[],"corresponding_institution_ids":["https://openalex.org/I200769079"],"apc_list":null,"apc_paid":null,"fwci":4.5689,"has_fulltext":false,"cited_by_count":19,"citation_normalized_percentile":{"value":0.9515409,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":90,"max":98},"biblio":{"volume":null,"issue":null,"first_page":"913","last_page":"917"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10007","display_name":"Monetary Policy and Economic Impact","score":0.9968000054359436,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10007","display_name":"Monetary Policy and Economic Impact","score":0.9968000054359436,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11871","display_name":"Advanced Statistical Methods and Models","score":0.9962000250816345,"subfield":{"id":"https://openalex.org/subfields/2613","display_name":"Statistics and Probability"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T10136","display_name":"Statistical Methods and Inference","score":0.992900013923645,"subfield":{"id":"https://openalex.org/subfields/2613","display_name":"Statistics and Probability"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/cointegration","display_name":"Cointegration","score":0.6419966220855713},{"id":"https://openalex.org/keywords/outlier","display_name":"Outlier","score":0.6248181462287903},{"id":"https://openalex.org/keywords/cauchy-distribution","display_name":"Cauchy distribution","score":0.5814497470855713},{"id":"https://openalex.org/keywords/lasso","display_name":"Lasso (programming language)","score":0.48076507449150085},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.4741760492324829},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.46575337648391724},{"id":"https://openalex.org/keywords/dimension","display_name":"Dimension (graph theory)","score":0.4655632972717285},{"id":"https://openalex.org/keywords/error-correction-model","display_name":"Error correction model","score":0.4561648964881897},{"id":"https://openalex.org/keywords/dimensionality-reduction","display_name":"Dimensionality reduction","score":0.44290661811828613},{"id":"https://openalex.org/keywords/orthogonality","display_name":"Orthogonality","score":0.440543532371521},{"id":"https://openalex.org/keywords/minification","display_name":"Minification","score":0.43517494201660156},{"id":"https://openalex.org/keywords/feature-selection","display_name":"Feature selection","score":0.4331935942173004},{"id":"https://openalex.org/keywords/stable-distribution","display_name":"Stable distribution","score":0.4227038323879242},{"id":"https://openalex.org/keywords/algorithm","display_name":"Algorithm","score":0.3977702856063843},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.3680039346218109},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.21014243364334106},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.1687825620174408},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.16426125168800354}],"concepts":[{"id":"https://openalex.org/C145162277","wikidata":"https://www.wikidata.org/wiki/Q1751675","display_name":"Cointegration","level":2,"score":0.6419966220855713},{"id":"https://openalex.org/C79337645","wikidata":"https://www.wikidata.org/wiki/Q779824","display_name":"Outlier","level":2,"score":0.6248181462287903},{"id":"https://openalex.org/C49344536","wikidata":"https://www.wikidata.org/wiki/Q726441","display_name":"Cauchy distribution","level":2,"score":0.5814497470855713},{"id":"https://openalex.org/C37616216","wikidata":"https://www.wikidata.org/wiki/Q3218363","display_name":"Lasso (programming language)","level":2,"score":0.48076507449150085},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.4741760492324829},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.46575337648391724},{"id":"https://openalex.org/C33676613","wikidata":"https://www.wikidata.org/wiki/Q13415176","display_name":"Dimension (graph theory)","level":2,"score":0.4655632972717285},{"id":"https://openalex.org/C134024062","wikidata":"https://www.wikidata.org/wiki/Q1401229","display_name":"Error correction model","level":3,"score":0.4561648964881897},{"id":"https://openalex.org/C70518039","wikidata":"https://www.wikidata.org/wiki/Q16000077","display_name":"Dimensionality reduction","level":2,"score":0.44290661811828613},{"id":"https://openalex.org/C17137986","wikidata":"https://www.wikidata.org/wiki/Q215067","display_name":"Orthogonality","level":2,"score":0.440543532371521},{"id":"https://openalex.org/C147764199","wikidata":"https://www.wikidata.org/wiki/Q6865248","display_name":"Minification","level":2,"score":0.43517494201660156},{"id":"https://openalex.org/C148483581","wikidata":"https://www.wikidata.org/wiki/Q446488","display_name":"Feature selection","level":2,"score":0.4331935942173004},{"id":"https://openalex.org/C147061848","wikidata":"https://www.wikidata.org/wiki/Q1934245","display_name":"Stable distribution","level":2,"score":0.4227038323879242},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.3977702856063843},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.3680039346218109},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.21014243364334106},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.1687825620174408},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.16426125168800354},{"id":"https://openalex.org/C2524010","wikidata":"https://www.wikidata.org/wiki/Q8087","display_name":"Geometry","level":1,"score":0.0},{"id":"https://openalex.org/C202444582","wikidata":"https://www.wikidata.org/wiki/Q837863","display_name":"Pure mathematics","level":1,"score":0.0},{"id":"https://openalex.org/C136764020","wikidata":"https://www.wikidata.org/wiki/Q466","display_name":"World Wide Web","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1109/globalsip.2017.8309093","is_oa":false,"landing_page_url":"https://doi.org/10.1109/globalsip.2017.8309093","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2017 IEEE Global Conference on Signal and Information Processing (GlobalSIP)","raw_type":"proceedings-article"},{"id":"pmh:oai:repository.ust.hk:1783.1-89111","is_oa":false,"landing_page_url":"http://lbdiscover.ust.hk/uresolver?url_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rfr_id=info:sid/HKUST:SPI&rft.genre=article&rft.issn=&rft.volume=2018-January&rft.issue=&rft.date=2017&rft.spage=913&rft.aulast=Zhao&rft.aufirst=Ziping%7C016595%7Cehkust-rpg-phd%7CuECE%2C%20HKUST%7Ck2018040411084009283566%7CdECE%7Cmzzhaoae%40connect.ust.hk%7Cj1&rft.atitle=Robust%20Maximum%20Likelihood%20Estimation%20of%20Sparse%20Vector%20Error%20Correction%20Model&rft.title=","pdf_url":null,"source":{"id":"https://openalex.org/S4306401796","display_name":"Rare & Special e-Zone (The Hong Kong University of Science and Technology)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I200769079","host_organization_name":"Hong Kong University of Science and Technology","host_organization_lineage":["https://openalex.org/I200769079"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Conference paper"}],"best_oa_location":null,"sustainable_development_goals":[{"display_name":"Decent work and economic growth","score":0.5899999737739563,"id":"https://metadata.un.org/sdg/8"}],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":28,"referenced_works":["https://openalex.org/W562847688","https://openalex.org/W1966315074","https://openalex.org/W1975377467","https://openalex.org/W1995880326","https://openalex.org/W2034707435","https://openalex.org/W2041266696","https://openalex.org/W2050968963","https://openalex.org/W2063396124","https://openalex.org/W2065630570","https://openalex.org/W2066888340","https://openalex.org/W2080744942","https://openalex.org/W2093545205","https://openalex.org/W2110603299","https://openalex.org/W2111772303","https://openalex.org/W2123735928","https://openalex.org/W2135046866","https://openalex.org/W2141366416","https://openalex.org/W2146651522","https://openalex.org/W2149414429","https://openalex.org/W2153562738","https://openalex.org/W2167744258","https://openalex.org/W2337186379","https://openalex.org/W2508393166","https://openalex.org/W2947626232","https://openalex.org/W3121695672","https://openalex.org/W3124148383","https://openalex.org/W4205213118","https://openalex.org/W4245169559"],"related_works":["https://openalex.org/W2047703041","https://openalex.org/W2114010376","https://openalex.org/W3129590125","https://openalex.org/W2806571724","https://openalex.org/W70096518","https://openalex.org/W4368755541","https://openalex.org/W2075507855","https://openalex.org/W4380758790","https://openalex.org/W1981060985","https://openalex.org/W2570889601"],"abstract_inverted_index":{"In":[0,55,74],"econometrics":[1],"and":[2,32,45,85],"finance,":[3],"the":[4,24,36,50,67,93,101],"vector":[5],"error":[6],"correction":[7],"model":[8,15,62],"(VECM)":[9],"is":[10,20,97,110],"an":[11],"important":[12],"time":[13],"series":[14],"for":[16],"cointegration":[17,77],"analysis,":[18],"which":[19],"used":[21],"to":[22,49,70,81,99],"estimate":[23],"long-run":[25],"equilibrium":[26],"variable":[27],"relationships.":[28],"The":[29,105],"traditional":[30],"analysis":[31],"estimation":[33,63],"methodologies":[34],"assume":[35],"underlying":[37],"Gaussian":[38],"distribution":[39,69],"but,":[40],"in":[41],"practice,":[42],"heavy-tailed":[43],"data":[44],"outliers":[46],"can":[47],"lead":[48],"inapplicability":[51],"of":[52,107],"these":[53],"methods.":[54],"this":[56,72,108],"paper,":[57],"we":[58],"propose":[59],"a":[60],"robust":[61],"method":[64,96],"based":[65,91],"on":[66,92],"Cauchy":[68],"tackle":[71],"issue.":[73],"addition,":[75],"sparse":[76],"relations":[78],"are":[79],"considered":[80],"realize":[82],"feature":[83],"selection":[84],"dimension":[86],"reduction.":[87],"An":[88],"efficient":[89],"algorithm":[90,109],"majorization-minimization":[94],"(MM)":[95],"applied":[98],"solve":[100],"proposed":[102],"nonconvex":[103],"problem.":[104],"performance":[106],"shown":[111],"through":[112],"numerical":[113],"simulations.":[114]},"counts_by_year":[{"year":2025,"cited_by_count":3},{"year":2024,"cited_by_count":1},{"year":2023,"cited_by_count":2},{"year":2022,"cited_by_count":2},{"year":2021,"cited_by_count":4},{"year":2020,"cited_by_count":2},{"year":2019,"cited_by_count":1},{"year":2018,"cited_by_count":4}],"updated_date":"2026-07-02T09:51:11.867554","created_date":"2025-10-10T00:00:00"}
