Sparsity considerations for dependent variables
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Abstract: The aim of this paper is to provide a comprehensive introduction for the study of L1-penalized estimators in the context of dependent observations. We define a general -penalized estimator for solving problems of stochastic optimization. This estimator turns out to be the LASSO in the regression estimation setting. Powerful theoretical guarantees on the statistical performances of the LASSO were provided in recent papers, however, they usually only deal with the iid case. Here, we study our estimator under various dependence assumptions.
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Cited in
(10)- Variable selection in multivariate linear models with high-dimensional covariance matrix estimation
- Matrix factorization for multivariate time series analysis
- Lasso guarantees for \(\beta \)-mixing heavy-tailed time series
- Lasso with long memory regression errors
- Deviation inequalities for separately Lipschitz functionals of composition of random functions
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- Penalized regression models with autoregressive error terms
- Benign overfitting in time-series linear models with over-parameterization
- \(\ell_1\)-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors
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