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...

書誌詳細
主要な著者:	Kock, A, Callot, L
フォーマット:	Journal article
出版事項:	Elsevier 2015

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