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).
By definition of bβwe have that −2bβ ⊤ jbγ(j) +bβ ⊤ j bΓbβj +λ|bβj|1 ≤ −2β ⊤bγ(j) +β ⊤bΓβ+λ|β| 1 for anyβ∈R pd
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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).