Square-Root LASSO for High-Dimensional Sparse Linear Systems with Weakly Dependent Errors

doi:10.1111/jtsa.12278

科研成果详情

发表状态	已发表Published
题名	Square-Root LASSO for High-Dimensional Sparse Linear Systems with Weakly Dependent Errors
作者	Xie, Fang1,2 ; Xiao, Zhijie 3,4
发表日期	2018-03-01
发表期刊	Journal of Time Series Analysis
ISSN/eISSN	0143-9782
卷号	39 期号:2 页码:212-238
摘要	We study the square-root LASSO method for high-dimensional sparse linear models with weakly dependent errors. The asymptotic and non-asymptotic bounds for the estimation errors are derived. Our results cover a wide range of weakly dependent errors, including α-mixing, ρ-mixing, ϕ-mixing, and m-dependent types. Numerical simulations are conducted to show the consistency property of square-root LASSO. An empirical application to financial data highlights the importance of the results and method.
关键词	estimation consistency high-dimensional linear model m-dependent square-root LASSO α-mixing ρ-mixing ϕ-mixing
DOI	10.1111/jtsa.12278
URL	查看来源
收录类别	SCIE
语种	英语English
WOS研究方向	Mathematics
WOS类目	Mathematics, Interdisciplinary Applications ; Statistics & Probability
WOS记录号	WOS:000424910100006
Scopus入藏号	2-s2.0-85041944684
引用统计	被引频次：4[WOS] [WOS记录] [WOS相关记录]
文献类型	期刊论文
条目标识符	https://repository.uic.edu.cn/handle/39GCC9TT/9188
专题	个人在本单位外知识产出
通讯作者	Xiao, Zhijie
作者单位	1.Department of Mathematics,Faculty of Science and Technology,University of Macau,Taipa,Macao 2.UM Zhuhai Research Institute,Zhuhai,China 3.Department of Economics,Boston College,Chestnut Hill,United States 4.Center for Economic Research,Shandong University,Jinan,China
第一作者单位	理工科技学院
推荐引用方式 GB/T 7714	Xie, Fang,Xiao, Zhijie. Square-Root LASSO for High-Dimensional Sparse Linear Systems with Weakly Dependent Errors[J]. Journal of Time Series Analysis, 2018, 39(2): 212-238.
APA	Xie, Fang, & Xiao, Zhijie. (2018). Square-Root LASSO for High-Dimensional Sparse Linear Systems with Weakly Dependent Errors. Journal of Time Series Analysis, 39(2), 212-238.
MLA	Xie, Fang,et al."Square-Root LASSO for High-Dimensional Sparse Linear Systems with Weakly Dependent Errors". Journal of Time Series Analysis 39.2(2018): 212-238.