Back to Search
Start Over
A Bernstein-type Inequality for High Dimensional Linear Processes with Applications to Robust Estimation of Time Series Regressions
- Source :
- Statistica Sinica.
- Publication Year :
- 2025
- Publisher :
- Statistica Sinica (Institute of Statistical Science), 2025.
-
Abstract
- Time series regression models are commonly used in time series analysis. However, in modern real-world applications, serially correlated data with an ultra-high dimension and fat tails are prevalent. This presents a challenge in developing new statistical tools for time series analysis. In this paper, we propose a novel Bernstein-type inequality for high-dimensional linear processes and apply it to investigate two high-dimensional robust estimation problems: (1) time series regression with fat-tailed and correlated covariates and errors, and (2) fat-tailed vector autoregression. Our proposed approach allows for exponential increases in dimension with sample size under mild moment and dependence conditions, while ensuring consistency in the estimation process.
Details
- ISSN :
- 10170405
- Database :
- OpenAIRE
- Journal :
- Statistica Sinica
- Accession number :
- edsair.doi.dedup.....93f9e6702cc58516f1553384497ae705