Lasso Inference for High-Dimensional Time Series

Lasso Inference for High-Dimensional Time Series

21 July 2020

Stephan Smeekes

Ines Wilms

Papers citing "Lasso Inference for High-Dimensional Time Series"

11 / 11 papers shown

Title
Econometrics of Machine Learning Methods in Economic Forecasting Andrii Babii Eric Ghysels Jonas Striaukas 22 1 0 21 Aug 2023
Expected Shortfall LASSO Sander Barendse 14 0 0 03 Jul 2023
Sparse High-Dimensional Vector Autoregressive Bootstrap R. Adámek Stephan Smeekes Ines Wilms 26 1 0 02 Feb 2023
Local Projection Inference in High Dimensions R. Adámek Stephan Smeekes Ines Wilms 20 3 0 07 Sep 2022
High Dimensional Generalised Penalised Least Squares Ilias Chronopoulos Katerina Chrysikou G. Kapetanios 8 2 0 14 Jul 2022
High-Dimensional Knockoffs Inference for Time Series Data Chien-Ming Chi Yingying Fan C. Ing Jinchi Lv AI4TS 24 6 0 18 Dec 2021
Neural graphical modelling in continuous-time: consistency guarantees and algorithms Alexis Bellot K. Branson M. Schaar CML AI4TS 17 43 0 06 May 2021
Machine Learning Advances for Time Series Forecasting Ricardo P. Masini M. C. Medeiros Eduardo F. Mendes AI4TS 11 270 0 23 Dec 2020
Online Debiasing for Adaptively Collected High-dimensional Data with Applications to Time Series Analysis Y. Deshpande Adel Javanmard M. Mehrabi AI4TS 28 31 0 04 Nov 2019
Comparison and anti-concentration bounds for maxima of Gaussian random vectors Victor Chernozhukov Denis Chetverikov Kengo Kato 55 221 0 21 Jan 2013
Autoregressive Process Modeling via the Lasso Procedure Yuval Nardi Alessandro Rinaldo 60 157 0 08 May 2008