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).
We select our choice of truncation parameterτ, by matching the rate of the variance component and the upper bound of the bias component
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
fields
stat.ME 1years
2025 1verdicts
UNVERDICTED 1representative citing papers
citing papers explorer
-
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).