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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| フォーマット: | Journal article |
| 出版事項: |
Elsevier
2015
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