Proposes the Factor Adjusted Thresholded dEbiased Nonconvex LASSO (FATEN-LASSO) estimator for high-dimensional time-varying coefficients under noisy high-frequency observations with factor structure, along with concentration properties.
Thus, we have Pr (I) ≤ λmin {Σ0,g (i∆n)} 108 ≥ 1 − 6p−2−a
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Nonconvex High-Dimensional Time-Varying Coefficient Estimation for Noisy High-Frequency Observations with a Factor Structure
Proposes the Factor Adjusted Thresholded dEbiased Nonconvex LASSO (FATEN-LASSO) estimator for high-dimensional time-varying coefficients under noisy high-frequency observations with factor structure, along with concentration properties.