Oracle inequalities for high dimensional vector autoregressions

DOI10.1016/j.jeconom.2015.02.013zbMath1331.62348arXiv1311.0811OpenAlexW3022446978WikidataQ98839666 ScholiaQ98839666MaRDI QIDQ494169

Laurent Callot, Anders Bredahl Kock

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

VARhigh-dimensional dataoracle inequalityLassoadaptive Lasso

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05)

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