Testing for high-dimensional network parameters in auto-regressive models
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Publication:2283570
DOI10.1214/19-EJS1646zbMath1434.62201arXiv1812.03659MaRDI QIDQ2283570
Publication date: 3 January 2020
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1812.03659
Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07)
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Cites Work
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