Lag selection and estimation of stable parameters for multiple autoregressive processes through convex programming
通过凸规划选择多个自回归过程的滞后阶并估计稳定参数
Motivated by a variety of applications, high-dimensional time series have become an active topic of research. In particular, several methods and finite-sample theories for individual stable autoregressive processes with known lag have become available very recently. We, instead, consider multiple stable autoregressive processes that share an unknown lag. We use information across the different processes to simultaneously select the lag and estimate the parameters. We prove…