Inference of high-dimensional linear models with time-varying coefficients
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Publication:4602125
DOI10.5705/ss.202015.0202zbMath1382.62045arXiv1506.03909MaRDI QIDQ4602125
Publication date: 26 January 2018
Published in: Statistica Sinica (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1506.03909
statistical inference; time series analysis; asymptotic theory; time-varying coefficients; high-dimensional linear models
62G07: Density estimation
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62J07: Ridge regression; shrinkage estimators (Lasso)
62P10: Applications of statistics to biology and medical sciences; meta analysis
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