Confidence intervals for parameters in high-dimensional sparse vector autoregression

DOI10.1016/j.csda.2021.107383OpenAlexW3210439319MaRDI QIDQ2076143

Ke Zhu, Hanzhong Liu

Publication date: 18 February 2022

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2009.09462

zbMATH Keywords

bootstrapGranger causalityhigh-dimensional time seriesde-biased Lassode-sparsified Lasso

Mathematics Subject Classification ID

Statistics (62-XX)

Uses Software

• selectiveInference
• hdi

Cites Work

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