Rate-optimal robust estimation of high-dimensional vector autoregressive models

DOI10.1214/23-aos2278arXiv2107.11002OpenAlexW4380490509MaRDI QIDQ6117053

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Publication date: 19 July 2023

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2107.11002

zbMATH Keywords

truncationrobust statisticshigh-dimensional time seriesautocovarianceminimax optimal

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07) Robustness and adaptive procedures (parametric inference) (62F35)

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