Lasso guarantees for $\beta$-mixing heavy-tailed time series
نویسندگان
چکیده
منابع مشابه
Lasso Guarantees for Time Series Estimation Under Subgaussian Tails and $ \beta $-Mixing
Many theoretical results on estimation of high dimensional time series require specifying an underlying data generating model (DGM). Instead, this paper relies only on (strict) stationarity and β-mixing condition to establish consistency of the Lasso when data comes from a β-mixing process with marginals having subgaussian tails. We establish non-asymptotic inequalities for estimation and predi...
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ژورنال
عنوان ژورنال: The Annals of Statistics
سال: 2020
ISSN: 0090-5364
DOI: 10.1214/19-aos1840