Regularized Estimation of High-Dimensional Vector AutoRegressions with Weakly Dependent Innovations

DOI10.1111/JTSA.12627MaRDI QIDQ6331402arXivFDO

Authors Ricardo P. Masini, Marcelo C. Medeiros, Eduardo F. Mendes

Publication date 18 December 2019

Published in arXiv

Full work available at URL https://doi.org/10.1111/JTSA.12627

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes (62Mxx)

arXiv classification

econ.EMmath.STstat.MLstat.TH

Abstract: There has been considerable advance in understanding the properties of sparse regularization procedures in high-dimensional models. In time series context, it is mostly restricted to Gaussian autoregressions or mixing sequences. We study oracle properties of LASSO estimation of weakly sparse vector-autoregressive models with heavy tailed, weakly dependent innovations with virtually no assumption on the conditional heteroskedasticity. In contrast to current literature, our innovation process satisfy an $L^1$ mixingale type condition on the centered conditional covariance matrices. This condition covers $L^1$-NED sequences and strong ($alpha$-) mixing sequences as particular examples.

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