Oracle inequalities for high dimensional vector autoregressions

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...

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Príomhchruthaitheoirí:	Kock, A, Callot, L
Formáid:	Journal article
Foilsithe / Cruthaithe:	Elsevier 2015

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