Sparsity considerations for dependent variables

DOI10.1214/11-EJS626zbMath1274.62462arXiv1102.1615MaRDI QIDQ1952207

Paul Doukhan, Pierre Alquier

Publication date: 28 May 2013

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1102.1615

zbMATH Keywords

penalization; density estimation; weak dependence; regression estimation; sparsity; LASSO; deviation of empirical mean; estimation in high dimension

Mathematics Subject Classification ID

62G08: Nonparametric regression and quantile regression

62G07: Density estimation

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

62J07: Ridge regression; shrinkage estimators (Lasso)

62J05: Linear regression; mixed models

Related Items

Adaptive lasso for linear regression models with ARMA-GARCH errors, Penalized regression models with autoregressive error terms, \(\ell_1\)-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors, Variable selection in multivariate linear models with high-dimensional covariance matrix estimation, Matrix factorization for multivariate time series analysis, Lasso guarantees for \(\beta \)-mixing heavy-tailed time series, Lasso with long memory regression errors, Deviation inequalities for separately Lipschitz functionals of composition of random functions, Bridge Estimation for Linear Regression Models with Mixing Properties

Uses Software

• PDCO

Cites Work

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