Estimation of High Dimensional Vector Autoregression via Sparse Precision Matrix

Material type: 文書・図像類

Author: Poignard, Benjaminほか

Publisher: Graduate School of Economics, Osaka University

Publication date: 2021-04

Material Format: Paper

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Note (General)：: We consider the problem of estimating sparse structural vector autoregression (SVAR) processes via penalized precision matrix. Such matrix is the outp...

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Paper

Material Type: 文書・図像類
Title: Estimation of High Dimensional Vector Autoregression via Sparse Precision Matrix
Author/Editor: Poignard, Benjamin
Asai, Manabu
Author Heading: Poignard, Benjamin
https://nrid.nii.ac.jp/nrid/1000040845252
Asai, Manabu
https://nrid.nii.ac.jp/nrid/1000090319484
Publication, Distribution, etc.: Graduate School of Economics, Osaka University
Publication Date: 2021-04
Publication Date (W3CDTF): 2021-04
Periodical title: Discussion Papers In Economics And Business
No. or year of volume/issue: 21-03
Volume: 21-03
Pages: 1-66
Text Language Code: eng
Subject Heading: sparse structural vector autoregression
statistical consistency
support recovery
Target Audience: 一般
Note (General): We consider the problem of estimating sparse structural vector autoregression (SVAR) processes via penalized precision matrix. Such matrix is the output of the underlying directed acyclic graph of the SVAR process, whose zero components correspond to zero SVAR coe?cients. The precision matrix estimators are deduced from the class of Bregman divergences and regularized by the SCAD, MCP and LASSO penalties. Under suitable regularity conditions, we derive error bounds for the regularized precision matrix for each Bregman divergence. Moreover, we establish the support recovery property, including the case when the penalty is non-convex. These theoretical results are supported by empirical studies.
Periodical Title (NCID): AA1160366X
https://ci.nii.ac.jp/ncid/AA1160366X
References (URI): URI
http://www2.econ.osaka-u.ac.jp/econ_society/dp/2103.pdf
Data Provider (Database): 国立情報学研究所 : 学術機関リポジトリデータベース（IRDB）（機関リポジトリ）
https://irdb.nii.ac.jp
Original Data Provider (Database): 大阪大学 : 大阪大学学術情報庫　桜華