Variable selection for high-dimensional regression models with time series and heteroscedastic errors
具有时间序列与异方差误差的高维回归变量选择
Although existing literature on high-dimensional regression models is rich, the vast majority of studies have focused on independent and homogeneous error terms. In this article, we consider the problem of selecting high-dimensional regression models with heteroscedastic and time series errors, which have broad applications in economics, quantitative finance, environmental science, and many other fields. The error term in our model is the product of two components: one time…