English

Concentration inequalities for high-dimensional linear processes with dependent innovations

Statistics Theory 2024-10-18 v2 Methodology Machine Learning Statistics Theory

Abstract

We develop concentration inequalities for the ll_\infty norm of vector linear processes with sub-Weibull, mixingale innovations. This inequality is used to obtain a concentration bound for the maximum entrywise norm of the lag-hh autocovariance matrix of linear processes. We apply these inequalities to sparse estimation of large-dimensional VAR(p) systems and heterocedasticity and autocorrelation consistent (HAC) high-dimensional covariance estimation.

Keywords

Cite

@article{arxiv.2307.12395,
  title  = {Concentration inequalities for high-dimensional linear processes with dependent innovations},
  author = {Eduardo Fonseca Mendes and Fellipe Lopes},
  journal= {arXiv preprint arXiv:2307.12395},
  year   = {2024}
}
R2 v1 2026-06-28T11:38:06.740Z