Finite-time analysis of vector autoregressive models under linear restrictions

DOI10.1093/BIOMET/ASAA065MaRDI QIDQ5022112zbMATH OpenOpenAlexFDO

Authors Yao Zheng, Guang Cheng

Publication date 18 January 2022

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1811.10197

zbMATH Keywords

empirical process theoryleast squares estimationnon-asymptotic analysisstochastic regressionunstable processvector autoregressive model

Mathematics Subject Classification ID

Statistics (62-XX)

Cited in

(8)

• High-Dimensional Vector Autoregressive Time Series Modeling via Tensor Decomposition
• Rate-optimal robust estimation of high-dimensional vector autoregressive models
• High-dimensional low-rank tensor autoregressive time series modeling
• Finite Time Analysis of Vector Autoregressive Models under Linear Restrictions
• Diagnostic analystics in the Bayesian vector autoregressive model
• Supervised factor modeling for high-dimensional linear time series
• High-dimensional banded vector autoregressions subject to structural breaks
• Envelope Matrix Autoregressive Models

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