Regularized estimation in sparse high-dimensional time series models

@article{Basu2013RegularizedEI,
  title={Regularized estimation in sparse high-dimensional time series models},
  author={Sumanta Basu and George Michailidis},
  journal={arXiv: Statistics Theory},
  year={2013}
}
Many scientific and economic problems involve the analysis of high-dimensional time series datasets. However, theoretical studies in high-dimensional statistics to date rely primarily on the assumption of independent and identically distributed (i.i.d.) samples. In this work, we focus on stable Gaussian processes and investigate the theoretical properties of $\ell _1$-regularized estimates in two important statistical problems in the context of high-dimensional time series: (a) stochastic… 

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