Oracle M‐Estimation for Time Series Models
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Publication:5346585
DOI10.1111/jtsa.12221zbMath1369.62226OpenAlexW2565575497MaRDI QIDQ5346585
Publication date: 26 May 2017
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/jtsa.12221
thresholdingblock bootstraporacle propertyM-estimationsparse modelsvector autoregressive time series
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Non-Markovian processes: estimation (62M09) Nonparametric statistical resampling methods (62G09)
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Oracle GMM estimation for misspecified models via thresholding ⋮ The EAS approach for graphical selection consistency in vector autoregression models
Uses Software
Cites Work
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