Determination of vector error correction models in high dimensions (Q1739869): Difference between revisions

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+Estimation for Partially Nonstationary Multivariate Autoregressive Models
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+Regularized estimation in sparse high-dimensional time series models
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+Covariance regularization by thresholding
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+Simultaneous analysis of Lasso and Dantzig selector
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+Bootstrap Determination of the Co-Integration Rank in Vector Autoregressive Models
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+Model selection in partially nonstationary vector autoregressive processes with reduced rank structure
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+Comparison and anti-concentration bounds for maxima of Gaussian random vectors
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+Q5434185
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+Co-Integration and Error Correction: Representation, Estimation, and Testing
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+Sure Independence Screening for Ultrahigh Dimensional Feature Space
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+A REVIEW OF SYSTEMS COINTEGRATION TESTS
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+Statistical analysis of cointegration vectors
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+Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
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+Asymptotics for Lasso-type estimators.
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+Oracle inequalities for high dimensional vector autoregressions
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+Marginal asymptotics for the ``large \(p\), small \(n\)'' paradigm: with applications to microarray data
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+Determining the number of factors when the number of factors can increase with sample size
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+AUTOMATED ESTIMATION OF VECTOR ERROR CORRECTION MODELS
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+Combining Linear Dimension Reduction Subspaces
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+Alternative Asymptotics for Cointegration Tests in Large VARs
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+Optimal estimation of cointegrated systems with irrelevant instruments
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+Q3997782
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+Rank Degeneracy
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+Q3998482
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+Q4864293
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+Consistent group selection in high-dimensional linear regression
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+EFFICIENT DETRENDING IN COINTEGRATING REGRESSION
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+Model Selection and Estimation in Regression with Grouped Variables
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+Q3174050
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+The Adaptive Lasso and Its Oracle Properties
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+Regularization and Variable Selection Via the Elastic Net
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