Data-Driven Tuning Parameter Selection for High-Dimensional Vector Autoregressions

DOI10.1080/01621459.2025.2516190MaRDI QIDQ7231152zbMATH OpenFDO

Authors Anders Bredahl Kock, Rasmus Søndergaard Pedersen, Jesper Riis-Vestergaard Sørensen

Publication date 21 April 2026

Published in Journal of the American Statistical Association (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1080/01621459.2025.2516190

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• \(\ell_1\)-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors
• A direct estimation of high dimensional stationary vector autoregressions
• Confidence Intervals and Hypothesis Testing for High-Dimensional Regression
• Confidence intervals for low dimensional parameters in high dimensional linear models
• FRED-MD: A Monthly Database for Macroeconomic Research
• High-dimensional low-rank tensor autoregressive time series modeling
• High-dimensional VARs with common factors
• scientific article; zbMATH DE number 845714 (Why is no real title available?)
• scientific article; zbMATH DE number 2199188 (Why is no real title available?)
• Lasso guarantees for \(\beta \)-mixing heavy-tailed time series
• Lasso Inference for High-Dimensional Time Series
• Lasso-driven inference in time and space
• Machine Learning Time Series Regressions With an Application to Nowcasting
• Nonlinear system theory: Another look at dependence
• On asymptotically optimal confidence regions and tests for high-dimensional models
• Oracle inequalities for high dimensional vector autoregressions
• Parametric statistical theory: with the assistance of R. Hamböker
• Performance bounds for parameter estimates of high-dimensional linear models with correlated errors
• Refined Cramér-type moderate deviation theorems for general self-normalized sums with applications to dependent random variables and winsorized mean
• Regularized estimation in sparse high-dimensional time series models
• Regularized estimation of high‐dimensional vector autoregressions with weakly dependent innovations
• Scaled sparse linear regression
• Self-normalized Cramér-type moderate deviations under dependence
• Sparse models and methods for optimal instruments with an application to eminent domain
• Square-root Lasso for high-dimensional sparse linear systems with weakly dependent errors
• Square-root lasso: pivotal recovery of sparse signals via conic programming
• The Lasso problem and uniqueness

Cited in

(1)

• A sorted penalty estimator: inference for a correlation-robust shrinkage method

This page was built for publication: Data-Driven Tuning Parameter Selection for High-Dimensional Vector Autoregressions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q7231152)