Lasso Guarantees for Time Series Estimation Under Subgaussian Tails and $ β$-Mixing

12 Feb 2016Kam Chung WongZifan LiAmbuj Tewari

Many theoretical results on estimation of high dimensional time series require specifying an underlying data generating model (DGM). Instead, along the footsteps of~\cite{wong2017lasso}, this paper relies only on (strict) stationarity and $ \beta $-mixing condition to establish consistency of lasso when data comes from a $\beta$-mixing process with marginals having subgaussian tails... (read more)

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