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math.ST2024
ARMAr-LASSO: Mitigating the Impact of Predictor Serial Correlation on the LASSO
Simone Tonini, Francesca Chiaromonte, Alessandro Giovannelli
We explore estimation and forecast accuracy for sparse linear models, focusing on scenarios where both predictors and errors carry serial correlations. We establish a clear link be…
math.ST2022
On the Impact of Serial Dependence on Penalized Regression Methods
Simone Tonini, Francesca Chiaromonte, Alessandro Giovannelli
This paper characterizes the impact of covariate serial dependence on the non-asymptotic estimation error bound of penalized regressions (PRs). Focusing on the direct relationship…