Rate-optimal robust estimation of high-dimensional vector autoregressive models

High dimensional generalized linear models for temporal dependent data

(2022) Yuefeng Han et al.   BERNOULLI

A shrinkage principle for heavy-tailed data: High-dimensional robust low-rank matrix recovery

(2021) Jianqing Fan et al.   ANNALS OF STATISTICS

Lasso guarantees for $\beta$-mixing heavy-tailed time series

(2020) Kam Chung Wong et al.   ANNALS OF STATISTICS

Finite time analysis of vector autoregressive models under linear restrictions

(2020) Yao Zheng et al.   BIOMETRIKA

A Tuning-free Robust and Efficient Approach to High-dimensional Regression

(2020) Lan Wang et al.   JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION

High-dimensional vector autoregressive time series modeling via tensor decomposition

(2020) Di Wang et al.   JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION

Low Rank and Structured Modeling of High-Dimensional Vector Autoregressions

(2019) Sumanta Basu et al.   IEEE TRANSACTIONS ON SIGNAL PROCESSING

User-Friendly Covariance Estimation for Heavy-Tailed Distributions

(2019) Yuan Ke et al.   STATISTICAL SCIENCE

Robust estimation of high-dimensional covariance and precision matrices

(2018) Marco Avella-Medina et al.   BIOMETRIKA

Sub-Gaussian estimators of the mean of a random matrix with heavy-tailed entries

(2018) Stanislav Minsker   ANNALS OF STATISTICS

Linear double autoregression

(2018) Qianqian Zhu et al.   JOURNAL OF ECONOMETRICS

Adaptive Huber Regression

(2018) Qiang Sun et al.   JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION

Sub-Gaussian mean estimators

(2016) Luc Devroye et al.   ANNALS OF STATISTICS

High-dimensional and banded vector autoregressions

(2016) Shaojun Guo et al.   BIOMETRIKA

Estimation of high dimensional mean regression in the absence of symmetry and light tail assumptions

(2016) Jianqing Fan et al.   JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY

Performance bounds for parameter estimates of high-dimensional linear models with correlated errors

(2016) Wei-Biao Wu et al.   Electronic Journal of Statistics

Bernstein-type inequality for a class of dependent random matrices

(2016) Marwa Banna et al.   Random Matrices-Theory and Applications

Regularized estimation in sparse high-dimensional time series models

(2015) Sumanta Basu et al.   ANNALS OF STATISTICS

Oracle inequalities for high dimensional vector autoregressions

(2015) Anders Bredahl Kock et al.   JOURNAL OF ECONOMETRICS

Optimal rates of convergence for sparse covariance matrix estimation

(2013) T. Tony Cai et al.   ANNALS OF STATISTICS

Bandits With Heavy Tail

(2013) Sebastien Bubeck et al.   IEEE TRANSACTIONS ON INFORMATION THEORY

Autoregressive models for gene regulatory network inference: Sparsity, stability and causality issues

(2013) George Michailidis et al.   MATHEMATICAL BIOSCIENCES

Challenging the empirical mean and empirical variance: A deviation study

(2012) Olivier Catoni   ANNALES DE L INSTITUT HENRI POINCARE-PROBABILITES ET STATISTIQUES

Robust estimation for vector autoregressive models

(2012) Nora Muler et al.   COMPUTATIONAL STATISTICS & DATA ANALYSIS

Quantile Regression for Analyzing Heterogeneity in Ultra-High Dimension

(2012) Lan Wang et al.   JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION

The Linearized Alternating Direction Method of Multipliers for Dantzig Selector

(2012) Xiangfeng Wang et al.   SIAM JOURNAL ON SCIENTIFIC COMPUTING

A Unified Framework for High-Dimensional Analysis of $M$-Estimators with Decomposable Regularizers

(2012) Sahand N. Negahban et al.   STATISTICAL SCIENCE

Estimation of (near) low-rank matrices with noise and high-dimensional scaling

(2011) Sahand Negahban et al.   ANNALS OF STATISTICS

Minimax Rates of Estimation for High-Dimensional Linear Regression Over $\ell_q$-Balls

(2011) Garvesh Raskutti et al.   IEEE TRANSACTIONS ON INFORMATION THEORY

Tight Oracle Inequalities for Low-Rank Matrix Recovery From a Minimal Number of Noisy Random Measurements

(2011) Emmanuel J Candès et al.   IEEE TRANSACTIONS ON INFORMATION THEORY

Investigating brain connectivity using mixed effects vector autoregressive models

(2011) Cristina Gorrostieta et al.   NEUROIMAGE

ℓ1-penalized quantile regression in high-dimensional sparse models

(2010) Alexandre Belloni et al.   ANNALS OF STATISTICS

Robust estimation for ARMA models

(2009) Nora Muler et al.   ANNALS OF STATISTICS