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stat.ME2021
High-dimensional Simultaneous Inference on Non-Gaussian VAR Model via De-biased Estimator
Linbo Liu, Danna Zhang
Simultaneous inference for high-dimensional non-Gaussian time series is always considered to be a challenging problem. Such tasks require not only robust estimation of the coeffici…
math.ST2021
A Bernstein-type Inequality for High Dimensional Linear Processes with Applications to Robust Estimation of Time Series Regressions
Linbo Liu, Danna Zhang
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 t…