Oracle inequalities for high dimensional vector autoregressions
<p style="text-align:justify;"> This paper establishes non-asymptotic oracle inequalities for the prediction error and estimation accuracy of the LASSO in stationary vector autoregressive models. These inequalities are used to establish consistency of the LASSO even when the number...
| मुख्य लेखकों: | , |
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| स्वरूप: | Journal article |
| प्रकाशित: |
Elsevier
2015
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