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.
p}, define AU = {β ∈ Rp | ∥ β∥2 ≤ 1, supp (β) ⊂ U }
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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.