Lasso guarantees for \(\beta \)-mixing heavy-tailed time series

DOI10.1214/19-AOS1840zbMath1450.62117arXiv1708.01505MaRDI QIDQ2196212

Ambuj Tewari, Kam Chung Wong, Zifan Li

Publication date: 28 August 2020

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1708.01505

zbMATH Keywords

time seriesmixingLassohigh-dimensional estimation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07) Statistics of extreme values; tail inference (62G32) Reliability and life testing (62N05)

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