Oracle inequalities for high dimensional vector autoregressions (Q494169)

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Oracle inequalities for high dimensional vector autoregressions
scientific article

    Statements

    title
    Oracle inequalities for high dimensional vector autoregressions (English)
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    author
    Anders Bredahl Kock
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    Laurent Callot
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    publication date
    31 August 2015
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    zbMATH Keywords
    VAR
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    Lasso
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    adaptive Lasso
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    oracle inequality
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    high-dimensional data
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    Identifiers

    Mathematics Subject Classification ID
    62J07
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    62G08
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    62J05
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    zbMATH DE Number
    6477031
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    Wikidata QID
    Q98839666
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