Bootstrap based inference for sparse high-dimensional time series models

DOI10.3150/20-BEJ1239zbMath1476.62186arXiv1806.11083MaRDI QIDQ2040070

Efstathios Paparoditis, Jens-Peter Kreiss, Jonas Krampe

Publication date: 9 July 2021

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1806.11083

zbMATH Keywords

testing; vector autoregressive models; de-sparsified estimators

Mathematics Subject Classification ID

62-08: Computational methods for problems pertaining to statistics

62H12: Estimation in multivariate analysis

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

62H15: Hypothesis testing in multivariate analysis

62F40: Bootstrap, jackknife and other resampling methods

Uses Software

• R
• FinCovRegularization
• bootstrap
• hdi