Lasso Inference for High-Dimensional Time Series

DOI10.48550/ARXIV.2007.10952arXiv2007.10952OpenAlexW3125779044MaRDI QIDQ95760

Stephan Smeekes, Robert Adamek, Ines Wilms, Robert Adamek, Ines Wilms, Stephan Smeekes

Publication date: 21 July 2020

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2007.10952

zbMATH Keywords

time serieshigh-dimensional datalassohonest inference

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (2)

FNETS: Factor-Adjusted Network Estimation and Forecasting for High-Dimensional Time Series ⋮ desla

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