Variable screening in high-dimensional vector autoregressions

DOI10.1016/J.ECONLET.2025.112695MaRDI QIDQ6882945zbMATH OpenFDO

Authors Bo Ling, Yundong Tu

Publication date 16 December 2025

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.ECONLET.2025.112695

zbMATH Keywords

high-dimensional VARinformation criterionvariable screening

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites work

• Extended Bayesian information criteria for model selection with large model spaces
• Forward regression for ultra-high dimensional variable screening
• Multivariate time series analysis. With R and financial applications
• Nonconcave penalized likelihood with a diverging number of parameters.
• Nonparametric Independence Screening in Sparse Ultra-High-Dimensional Varying Coefficient Models
• Nonparametric statistics for stochastic processes. Estimation and prediction.
• Oracle inequalities for high dimensional vector autoregressions
• Shrinkage tuning parameter selection with a diverging number of parameters
• The sparsity and bias of the LASSO selection in high-dimensional linear regression

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