Oracle inequalities for high dimensional vector autoregressions

标题
Oracle inequalities for high dimensional vector autoregressions
作者
关键词
VAR, LASSO, Adaptive LASSO, Oracle inequality, High-dimensional data
出版物
JOURNAL OF ECONOMETRICS
Volume 186, Issue 2, Pages 325-344
出版商
Elsevier BV
发表日期
2015-03-03
DOI
10.1016/j.jeconom.2015.02.013

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