FNETS: Factor-Adjusted Network Estimation and Forecasting for High-Dimensional Time Series

Are Latent Factor Regression and Sparse Regression Adequate?

(2023) Jianqing Fan et al.   JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION

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

(2023) Di Wang et al.   ANNALS OF STATISTICS

FNETS: Factor-Adjusted Network Estimation and Forecasting for High-Dimensional Time Series

(2023) Matteo Barigozzi et al.   JOURNAL OF BUSINESS & ECONOMIC STATISTICS

On the sign recovery by least absolute shrinkage and selection operator, thresholded least absolute shrinkage and selection operator, and thresholded basis pursuit denoising

(2022) Patrick J.C. Tardivel et al.   SCANDINAVIAN JOURNAL OF STATISTICS

Lasso inference for high-dimensional time series

(2022) Robert Adamek et al.   JOURNAL OF ECONOMETRICS

Convergence of covariance and spectral density estimates for high-dimensional locally stationary processes

(2021) Danna Zhang et al.   ANNALS OF STATISTICS

Sparsity Concepts and Estimation Procedures for High Dimensional Vector Autoregressive Models

(2021) Jonas Krampe et al.   JOURNAL OF TIME SERIES ANALYSIS

Factor models with local factors — Determining the number of relevant factors

(2021) Simon Freyaldenhoven   JOURNAL OF ECONOMETRICS

Detecting groups in large vector autoregressions

(2021) Guðmundur Stefán Guðmundsson et al.   JOURNAL OF ECONOMETRICS

Regularized estimation of high‐dimensional vector autoregressions with weakly dependent innovations

(2021) Ricardo P. Masini et al.   JOURNAL OF TIME SERIES ANALYSIS

Factor-adjusted regularized model selection

(2020) Jianqing Fan et al.   JOURNAL OF ECONOMETRICS

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

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

Low Rank and Structured Modeling of High-Dimensional Vector Autoregressions

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

Generalized dynamic factor models and volatilities: estimation and forecasting

(2017) Matteo Barigozzi et al.   JOURNAL OF ECONOMETRICS

Dynamic factor models with infinite-dimensional factor space: Asymptotic analysis

(2017) Mario Forni et al.   JOURNAL OF ECONOMETRICS

ℓ1-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors

(2016) Marcelo C. Medeiros et al.   JOURNAL OF ECONOMETRICS

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

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

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

On the network topology of variance decompositions: Measuring the connectedness of financial firms

(2014) Francis X. Diebold et al.   JOURNAL OF ECONOMETRICS

Eigenvalue Ratio Test for the Number of Factors

(2013)   ECONOMETRICA

Large covariance estimation by thresholding principal orthogonal complements

(2013) Jianqing Fan et al.   JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY

High-dimensional regression with noisy and missing data: Provable guarantees with nonconvexity

(2012) Po-Ling Loh et al.   ANNALS OF STATISTICS

Asymptotics of the principal components estimator of large factor models with weakly influential factors

(2012) Alexei Onatski   JOURNAL OF ECONOMETRICS

Significance testing in ridge regression for genetic data

(2011) Erika Cule et al.   BMC BIOINFORMATICS

A Constrainedℓ1Minimization Approach to Sparse Precision Matrix Estimation

(2011) Tony Cai et al.   JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION

The adaptive and the thresholded Lasso for potentially misspecified models (and a lower bound for the Lasso)

(2011) Sara van de Geer et al.   Electronic Journal of Statistics

Simultaneous analysis of Lasso and Dantzig selector

(2009) Peter J. Bickel et al.   ANNALS OF STATISTICS

Subset selection for vector autoregressive processes using Lasso

(2007) Nan-Jung Hsu et al.   COMPUTATIONAL STATISTICS & DATA ANALYSIS