Bootstrap based inference for sparse high-dimensional time series models
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Publication:2040070
DOI10.3150/20-BEJ1239zbMath1476.62186arXiv1806.11083OpenAlexW3160996915MaRDI QIDQ2040070
Efstathios Paparoditis, Jonas Krampe, Jens-Peter Kreiss
Publication date: 9 July 2021
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1806.11083
Computational methods for problems pertaining to statistics (62-08) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15) Bootstrap, jackknife and other resampling methods (62F40)
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Lasso-driven inference in time and space, Bootstrap inference for network vector autoregression in large-scale social network, Inverse covariance operators of multivariate nonstationary time series, Structural inference in sparse high-dimensional vector autoregressions, Lasso Inference for High-Dimensional Time Series, Statistical Inference for High-Dimensional Vector Autoregression with Measurement Error
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Cites Work
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