Oracle inequalities for high dimensional vector autoregressions

DOI10.1016/j.jeconom.2015.02.013zbMath1331.62348arXiv1311.0811WikidataQ98839666 ScholiaQ98839666MaRDI QIDQ494169

Publication date: 31 August 2015

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1311.0811

zbMATH Keywords

VAR; high-dimensional data; oracle inequality; Lasso; adaptive Lasso

Mathematics Subject Classification ID

62G08: Nonparametric regression and quantile regression

62J07: Ridge regression; shrinkage estimators (Lasso)

62J05: Linear regression; mixed models

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