Rate-optimal robust estimation of high-dimensional vector autoregressive models (Q6117053)

scientific article; zbMATH DE number 7714183

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English	Rate-optimal robust estimation of high-dimensional vector autoregressive models	scientific article; zbMATH DE number 7714183

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instance of

scholarly article

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title

Rate-optimal robust estimation of high-dimensional vector autoregressive models (English)

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published in

The Annals of Statistics

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publication date

19 July 2023

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full work available at URL

https://arxiv.org/abs/2107.11002

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zbMATH Keywords

autocovariance

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high-dimensional time series

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minimax optimal

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robust statistics

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truncation

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MaRDI profile type

MaRDI publication profile

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cites work

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Identifiers

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Mathematics Subject Classification ID

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Mathematics(1 entry)

mardi Publication:6117053