Sparse transition matrix estimation for high-dimensional and locally stationary vector autoregressive models
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Publication:2412259
DOI10.1214/17-EJS1325zbMath1403.62159arXiv1604.04002MaRDI QIDQ2412259
Xiaohui Chen, Ziyi Qiu, Xin Ding
Publication date: 23 October 2017
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1604.04002
kernel smoothing; time-varying parameters; locally stationary processes; sparsity; high-dimension; vector autoregression
62H12: Estimation in multivariate analysis
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62G20: Asymptotic properties of nonparametric inference
62P05: Applications of statistics to actuarial sciences and financial mathematics
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