Inference of high-dimensional linear models with time-varying coefficients

DOI10.5705/ss.202015.0202zbMath1382.62045arXiv1506.03909OpenAlexW2963959429MaRDI QIDQ4602125

Yifeng He, Xiaohui Chen

Publication date: 26 January 2018

Published in: Statistica Sinica (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1506.03909

zbMATH Keywords

statistical inferencetime series analysisasymptotic theorytime-varying coefficientshigh-dimensional linear models

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07) Applications of statistics to biology and medical sciences; meta analysis (62P10)

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