Performance bounds for parameter estimates of high-dimensional linear models with correlated errors

DOI10.1214/16-EJS1108zbMath1333.62172OpenAlexW2274029167MaRDI QIDQ5965327

Ying Nian Wu, Wei-Biao Wu

Publication date: 3 March 2016

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

Full work available at URL: https://projecteuclid.org/euclid.ejs/1455715966

zbMATH Keywords

consistencyexponential inequalitydependence-adjusted normfunctional and predictive dependence measureshigh-dimensional time seriesimpulse response functionNagaev inequalitypredictive persistencesupport recovery

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05)

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Uses Software

• glmnet

Cites Work

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