Large Vector Auto Regressions

20 June 2011

Papers citing "Large Vector Auto Regressions"

9 / 9 papers shown

Title
Benign Overfitting in Time Series Linear Models with Over-Parameterization Shogo H. Nakakita Masaaki Imaizumi AI4TS 159 5 0 18 Apr 2022
An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory M. Bibinger 55 71 0 21 Jun 2011
Asymptotics of Asynchronicity M. Bibinger 53 32 0 21 Jun 2011
Dynamic Large Spatial Covariance Matrix Estimation in Application to Semiparametric Model Construction via Variable Clustering: the SCE approach Song Song 79 3 0 20 Jun 2011
Asymptotic equivalence and sufficiency for volatility estimation under microstructure noise M. Reiß 146 41 0 18 Jan 2010
Taking Advantage of Sparsity in Multi-Task Learning Karim Lounici Massimiliano Pontil Alexandre B. Tsybakov Sara van de Geer 272 292 0 09 Mar 2009
The Benefit of Group Sparsity Junzhou Huang Tong Zhang 151 465 0 20 Jan 2009
Sup-norm convergence rate and sign concentration property of Lasso and Dantzig estimators Karim Lounici 228 241 0 30 Jan 2008
Simultaneous analysis of Lasso and Dantzig selector Peter J. Bickel Yaácov Ritov Alexandre B. Tsybakov 327 2,527 0 07 Jan 2008