Kock, Anders Bredahl; Callot, Laurent A.F. - School of Economics and Management, University of Aarhus - 2012
This paper establishes non-asymptotic oracle inequalities for the prediction error and estimation accuracy of the LASSO … in stationary vector autoregressive models. These inequalities are used to establish consistency of the LASSO even when … excluded. Next, non-asymptotic probabilities are given for the Adaptive LASSO to select the correct sign pattern (and hence the …