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math.ST2022
Robust Estimation of Sparse, High Dimensional Time Series with Polynomial Tails
Sagnik Halder, George Michailidis
High dimensional Vector Autoregressions (VAR) have received a lot of interest recently due to novel applications in health, engineering, finance and the social sciences. Three issu…
math.ST2022
Optimal Sparse Estimation of High Dimensional Heavy-tailed Time Series
Sagnik Halder, George Michailidis
Recently, high dimensional vector auto-regressive models (VAR), have attracted a lot of interest, due to novel applications in the health, engineering and social sciences. The pres…