Regularized estimation in sparse high-dimensional time series models

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

George Michailidis, Sumanta Basu, George Michailidis, Sumanta Basu

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 seriescovariance estimationvector autoregressionlassostochastic regression

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear inference, regression (62J99) Inference from stochastic processes and spectral analysis (62M15)

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