Variable screening for high dimensional time series

DOI10.1214/18-EJS1402zbMath1473.62322arXiv1705.07950MaRDI QIDQ1746535

Kashif Yousuf

Publication date: 25 April 2018

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1705.07950

zbMATH Keywords

time seriesvariable selectionsparsityhigh-dimensional statisticsLassoNagaev inequalitysure independence screeningfunctional dependence measure

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07) Statistical ranking and selection procedures (62F07)

Related Items (1)

Boosting high dimensional predictive regressions with time varying parameters

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