High-Dimensional Knockoffs Inference for Time Series Data
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Cites work
- \(\ell_1\)-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- A unified treatment of multiple testing with prior knowledge using the p-filter
- Adaptive Forward-Backward Greedy Algorithm for Learning Sparse Representations
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Controlling the false discovery rate via knockoffs
- False discovery rate control with e-values
- Forecasting Inflation in a Data-Rich Environment: The Benefits of Machine Learning Methods
- FRED-MD: A Monthly Database for Macroeconomic Research
- High dimensional generalized linear models for temporal dependent data
- scientific article; zbMATH DE number 3742453 (Why is no real title available?)
- scientific article; zbMATH DE number 720689 (Why is no real title available?)
- scientific article; zbMATH DE number 947422 (Why is no real title available?)
- Lasso guarantees for \(\beta \)-mixing heavy-tailed time series
- Lasso Inference for High-Dimensional Time Series
- Model selection for high-dimensional linear regression with dependent observations
- Nonuniformity of p-values can occur early in diverging dimensions
- Oracle inequalities for high dimensional vector autoregressions
- Panning for Gold: ‘Model-X’ Knockoffs for High Dimensional Controlled Variable Selection
- Random forests
- RANK: Large-Scale Inference With Graphical Nonlinear Knockoffs
- Rates of convergence for empirical processes of stationary mixing sequences
- Regularized estimation in sparse high-dimensional time series models
- Robust inference with knockoffs
- SLOPE-adaptive variable selection via convex optimization
- Testing by betting: a strategy for statistical and scientific communication
- The Adaptive Lasso and Its Oracle Properties
- The control of the false discovery rate in multiple testing under dependency.
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