Rate-optimal robust estimation of high-dimensional vector autoregressive models
Author:
Affiliation:
1. School of Mathematical Sciences, Shanghai Jiao Tong University
2. Booth School of Business, University of Chicago
Publisher
Institute of Mathematical Statistics
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Reference62 articles.
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3. KE, Y., MINSKER, S., REN, Z., SUN, Q. and ZHOU, W.-X. (2019). User-friendly covariance estimation for heavy-tailed distributions. Statist. Sci. 34 454–471.
4. Wu, W. B. (2005). Nonlinear system theory: Another look at dependence. Proc. Natl. Acad. Sci. USA 102 14150–14154.
5. Hampel, F. R. (1974). The influence curve and its role in robust estimation. J. Amer. Statist. Assoc. 69 383–393.
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