论文标题
单位根部非平稳数据的限制特征值条件
A restricted eigenvalue condition for unit-root non-stationary data
论文作者
论文摘要
在本文中，我们为单位根部非平稳数据开发了受限的特征值条件，并在可能同时相关的独立高斯创新的假设下得出了其有效性。证明方法依赖于矩阵浓度不平等，并提供了足够的灵活性，使我们的结果扩展到替代时间序列设置。作为此结果的应用，我们显示了Lasso估计量在超高维协调数据上的一致性，其中集成回归器的数量与样本量相关。
In this paper, we develop a restricted eigenvalue condition for unit-root non-stationary data and derive its validity under the assumption of independent Gaussian innovations that may be contemporaneously correlated. The method of proof relies on matrix concentration inequalities and offers sufficient flexibility to enable extensions of our results to alternative time series settings. As an application of this result, we show the consistency of the lasso estimator on ultra high-dimensional cointegrated data in which the number of integrated regressors may grow exponentially in relation to the sample size.
