Regularized Estimation of Linear Functionals of Precision Matrices for High-Dimensional Time Series

DOI10.1109/TSP.2016.2605079zbMATH Open1414.94126arXiv1506.03832MaRDI QIDQ4619670FDOQ4619670

Authors: Xiaohui Chen, Mengyu Xu, Wei Biao Wu 

Publication date: 7 February 2019

Published in: IEEE Transactions on Signal Processing (Search for Journal in Brave)

Abstract: This paper studies a Dantzig-selector type regularized estimator for linear functionals of high-dimensional linear processes. Explicit rates of convergence of the proposed estimator are obtained and they cover the broad regime from i.i.d. samples to long-range dependent time series and from sub-Gaussian innovations to those with mild polynomial moments. It is shown that the convergence rates depend on the degree of temporal dependence and the moment conditions of the underlying linear processes. The Dantzig-selector estimator is applied to the sparse Markowitz portfolio allocation and the optimal linear prediction for time series, in which the ratio consistency when compared with an oracle estimator is established. The effect of dependence and innovation moment conditions is further illustrated in the simulation study. Finally, the regularized estimator is applied to classify the cognitive states on a real fMRI dataset and to portfolio optimization on a financial dataset.

Full work available at URL: https://arxiv.org/abs/1506.03832

Recommendations

• Covariance and precision matrix estimation for high-dimensional time series
• Regularized estimation in sparse high-dimensional time series models
• Regularized estimation of precision matrix for high-dimensional multivariate longitudinal data
• Estimation and inference for precision matrices of nonstationary time series
• \(\ell_1\)-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors
• Minimax estimation of covariance and precision matrices for high-dimensional time series with long-memory
• On consistency and sparsity for high-dimensional functional time series with application to autoregressions
• Large-sample approximations for variance-covariance matrices of high-dimensional time series
• scientific article; zbMATH DE number 7376767
• Estimation of large covariance and precision matrices from temporally dependent observations

Mathematics Subject Classification ID

Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Cited In (8)

• Two-sample mean vector projection test in high-dimensional data
• High dimensional generalized linear models for temporal dependent data
• Projection Test for Mean Vector in High Dimensions
• Gaussian and bootstrap approximations for high-dimensional U-statistics and their applications
• Fused-Lasso Regularized Cholesky Factors of Large Nonstationary Covariance Matrices of Replicated Time Series
• Minimax estimation of covariance and precision matrices for high-dimensional time series with long-memory
• Regularized estimation in sparse high-dimensional time series models
• A Bernstein-type inequality for high dimensional linear processes with applications to robust estimation of time series regressions

This page was built for publication: Regularized Estimation of Linear Functionals of Precision Matrices for High-Dimensional Time Series

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4619670)