Lasso-driven inference in time and space

DOI10.1214/20-AOS2019zbMath1475.62208arXiv1806.05081OpenAlexW3124120322MaRDI QIDQ820826

Weining Wang, Victor Chernozhukov, Chen Huang, Wolfgang Karl Härdle

Publication date: 28 September 2021

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

Full work available at URL: https://arxiv.org/abs/1806.05081

zbMATH Keywords

Bahadur representationtime seriessimultaneous inferenceLassomartingale decompositionsystem of equationsZ-estimation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bootstrap, jackknife and other resampling methods (62F40) Martingales and classical analysis (60G46)

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Uses Software

• hdi

Cites Work

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