Concentration inequalities for empirical processes of linear time series

zbMATH Open1476.60039MaRDI QIDQ4558573FDOQ4558573

Authors: Likai Chen, Wei Biao Wu 

Publication date: 22 November 2018

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zbMATH Keywords

tail probabilityheavy tailmartingale decomposition\(\mathrm{MA}(\infty)\)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inequalities; stochastic orderings (60E15)

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Cited In (9)

• High dimensional generalized linear models for temporal dependent data
• Causality in extremes of time series
• An exponential inequality for suprema of empirical processes with heavy tails on the left
• Estimation of Sparsity-Induced Weak Factor Models
• A tail inequality for suprema of unbounded empirical processes with applications to Markov chains
• Concentration inequalities for non-causal random fields
• Title not available (Why is that?)
• Discrepancy-based theory and algorithms for forecasting non-stationary time series
• A Bernstein-type inequality for high dimensional linear processes with applications to robust estimation of time series regressions

Uses Software

• longmemo

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