An autocovariance-based learning framework for high-dimensional functional time series

DOI10.1016/j.jeconom.2023.01.007arXiv2008.12885MaRDI QIDQ6150516

Qiwei Yao, Cheng Chen, Xinghao Qiao, Jinyuan Chang

Publication date: 6 March 2024

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

Full work available at URL: https://arxiv.org/abs/2008.12885

zbMATH Keywords

dimension reductionhigh-dimensional datasparsityfunctional time seriesnon-asymptoticsblock regularized minimum distance estimation

Mathematics Subject Classification ID

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

Cites Work

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