scientific article; zbMATH DE number 7376767
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Publication:5004044
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- Bernstein inequality and moderate deviations under strong mixing conditions
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- Concentration inequalities for empirical processes of linear time series
- Covariance and precision matrix estimation for high-dimensional time series
- Covariance regularization by thresholding
- Estimating sparse precision matrix: optimal rates of convergence and adaptive estimation
- Estimation of High Dimensional Mean Regression in the Absence of Symmetry and Light Tail Assumptions
- Gaussian approximation for high dimensional time series
- Generalized thresholding of large covariance matrices
- High dimensional inverse covariance matrix estimation via linear programming
- High-dimensional autocovariance matrices and optimal linear prediction
- High-dimensional covariance estimation by minimizing \(\ell _{1}\)-penalized log-determinant divergence
- High-dimensional graphs and variable selection with the Lasso
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- Iterated Random Functions
- Large deviations of sums of independent random variables
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- Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model
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- Robust Estimation of a Location Parameter
- Robust estimation of high-dimensional covariance and precision matrices
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- Sparse permutation invariant covariance estimation
- Sparsistency and rates of convergence in large covariance matrix estimation
- Statistics for high-dimensional data. Methods, theory and applications.
Cited in
(11)- Robust parameter estimation of regression models under weakened moment assumptions
- High dimensional generalized linear models for temporal dependent data
- Regularized Estimation of Linear Functionals of Precision Matrices for High-Dimensional Time Series
- The robust desparsified lasso and the focused information criterion for high-dimensional generalized linear models
- Rate-optimal robust estimation of high-dimensional vector autoregressive models
- Volatility prediction comparison via robust volatility proxies: an empirical deviation perspective
- A Pairwise Hotelling Method for Testing High-Dimensional Mean Vectors
- Change-point inference in high-dimensional regression models under temporal dependence
- A Bernstein-type inequality for high dimensional linear processes with applications to robust estimation of time series regressions
- Tail-robust factor modelling of vector and tensor time series in high dimensions
- Optimal estimation for a class of high-dimensional covariance matrices
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