Nonconcave penalized estimation in sparse vector autoregression model

DOI10.1214/20-EJS1693zbMath1439.62200OpenAlexW3015164986MaRDI QIDQ2180066

Xuening Zhu

Publication date: 13 May 2020

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.ejs/1585728014

zbMATH Keywords

dependent datahigh-dimensional time seriesvector autoregressionnonconcave penalization

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07)

Related Items (2)

Forecasting vector autoregressions with mixed roots in the vicinity of unity ⋮ Regularized Estimation in High-Dimensional Vector Auto-Regressive Models Using Spatio-Temporal Information

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