Regularized estimation in sparse high-dimensional time series models

DOI10.1214/15-aos1315zbMath1317.62067arXiv1311.4175WikidataQ98839742 ScholiaQ98839742MaRDI QIDQ127754

Sumanta Basu, George Michailidis, Sumanta Basu, George Michailidis

Publication date: 1 August 2015

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1311.4175

zbMATH Keywords

high-dimensional time series; covariance estimation; vector autoregression; lasso; stochastic regression

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62J99: Linear inference, regression

62M15: Inference from stochastic processes and spectral analysis

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