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...

書目詳細資料
Main Authors:	Kock, A, Callot, L
格式:	Journal article
出版:	Elsevier 2015

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