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

DOI10.1111/JTSA.12278zbMATH Open1392.62219OpenAlexW2771367112MaRDI QIDQ4606963FDOQ4606963

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

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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)

Cited In (5)

• High-dimensional inference for linear model with correlated errors
• Concentration Inequalities for Statistical Inference
• The EAS approach for graphical selection consistency in vector autoregression models
• Oracle inequality for sparse trace regression models with exponential \(\beta\)-mixing errors
• Lasso regression in sparse linear model with \(\varphi\)-mixing errors

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