A truncation-based two-stage estimator for factor-adjusted VAR models achieves estimation rates comparable to light-tailed cases under only (2+2ε) moments for ε in (0,1).
The data are generated as in (F2), (V1), (S1)
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Tail-robust estimation of factor-adjusted vector autoregressive models for high-dimensional time series
A truncation-based two-stage estimator for factor-adjusted VAR models achieves estimation rates comparable to light-tailed cases under only (2+2ε) moments for ε in (0,1).