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高维带状向量自回归模型AI 解读

We consider a class of vector autoregressive models with banded coefficient matrices. This setting represents a type of sparse structure for high-dimensional time series, although the implied auto-covariance matrices are not banded. The structure is also practically meaningful when the component time series are ordered appropriately. We establish the convergence rates of the estimated banded autoregressive coefficient matrices. We also propose a Bayesian information…

长记忆数据的小波收缩函数估计AI 解读

In this article we study function estimation via wavelet shrinkage for data with long-range dependence. We propose a fractional Gaussian noise model to approximate nonparametric regression with long-range dependence and establish asymptotics for minimax risks. Because of long-range dependence, the minimax risk and the minimax linear risk converge to 0 at rates that differ from those for data with independence or short-range dependence. Wavelet estimates with best selection…