English

Robust estimation for high-dimensional time series with heavy tails

Statistics Theory 2024-11-11 v1 Statistics Theory

Abstract

We study in this paper the problem of least absolute deviation (LAD) regression for high-dimensional heavy-tailed time series which have finite α\alpha-th moment with α(1,2]\alpha \in (1,2]. To handle the heavy-tailed dependent data, we propose a Catoni type truncated minimization problem framework and obtain an O(((d1+d2)(d1d2)log2n/n)(α1)/α)\mathcal{O}\big( \big( (d_1+d_2) (d_1\land d_2) \log^2 n / n \big)^{(\alpha - 1)/\alpha} \big) order excess risk, where d1d_1 and d2d_2 are the dimensionality and nn is the number of samples. We apply our result to study the LAD regression on high-dimensional heavy-tailed vector autoregressive (VAR) process. Simulations for the VAR(pp) model show that our new estimator with truncation are essential because the risk of the classical LAD has a tendency to blow up. We further apply our estimation to the real data and find that ours fits the data better than the classical LAD.

Keywords

Cite

@article{arxiv.2411.05217,
  title  = {Robust estimation for high-dimensional time series with heavy tails},
  author = {Yu Wang and Guodong Li and Zhijie Xiao and Lihu Xu and Wenyang Zhang},
  journal= {arXiv preprint arXiv:2411.05217},
  year   = {2024}
}
R2 v1 2026-06-28T19:52:27.198Z