Confidence intervals for parameters in high-dimensional sparse vector autoregression.

Ke Zhu Hanzhong Liu

Published in: Comput. Stat. Data Anal. (2022)

Keyphrases

high dimensional
confidence intervals
sparse data
parameter space
low dimensional
sample size
stochastic systems
dimensionality reduction
feature space
monte carlo
stopping rules
additive models
sufficiently small
maximum likelihood
search space
data streams
learning algorithm
machine learning