Square-root Lasso for high-dimensional sparse linear systems with weakly dependent errors

DOI10.1111/JTSA.12278MaRDI QIDQ4606963zbMATH OpenOpenAlexFDO

Authors Fang Xie, Zhijie Xiao

Publication date 9 March 2018

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/jtsa.12278

zbMATH Keywords

\(\alpha\)-mixing\(\rho\)-mixing\(m\)-dependentestimation consistency\(\varphi\)-mixinghigh-dimensional linear modelsquare-root Lasso

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07)

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(7)

• High-dimensional inference for linear model with correlated errors
• Square-root lasso: pivotal recovery of sparse signals via conic programming
• The EAS approach for graphical selection consistency in vector autoregression models
• Data-Driven Tuning Parameter Selection for High-Dimensional Vector Autoregressions
• Oracle inequality for sparse trace regression models with exponential -mixing errors
• Lasso regression in sparse linear model with \(\varphi\)-mixing errors
• Concentration inequalities for statistical inference

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