Square‐Root LASSO for High‐Dimensional Sparse Linear Systems with Weakly Dependent Errors
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Publication:4606963
DOI10.1111/jtsa.12278zbMath1392.62219OpenAlexW2771367112MaRDI QIDQ4606963
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
\(\alpha\)-mixing\(\rho\)-mixing\(m\)-dependentestimation consistency\(\varphi\)-mixinghigh-dimensional linear modelsquare-root Lasso
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07)
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