Regularized estimation in sparse high-dimensional time series models

Annals of Statistics

Volumn 43, Issue 4, 2015, Pages 1535-1567

  Basu, Sumanta ^a   Michailidis, George ^a  

^a UNIVERSITY OF MICHIGAN   (United States)

Author keywords

Covariance estimation; High dimensional time series; Lasso; Stochastic regression; Vector autoregression

Indexed keywords

EID: 84933511111     PISSN: 00905364     EISSN: 21688966     Source Type: Journal    
DOI: 10.1214/15-AOS1315     Document Type: Article

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