Robust estimation for high-dimensional time series with heavy tails
Abstract
We study in this paper the problem of least absolute deviation (LAD) regression for high-dimensional heavy-tailed time series which have finite $\alpha$-th moment with $\alpha \in (1,2]$. To handle the heavy-tailed dependent data, we propose a Catoni type truncated minimization problem framework and obtain an $\mathcal{O}\big( \big( (d_1+d_2) (d_1\land d_2) \log^2 n / n \big)^{(\alpha - 1)/\alpha} \big)$ order excess risk, where $d_1$ and $d_2$ are the dimensionality and $n$ is the number of samples. We apply our result to study the LAD regression on high-dimensional heavy-tailed vector autoregressive (VAR) process. Simulations for the VAR($p$) model show that our new estimator with truncation are essential because the risk of the classical LAD has a tendency to blow up. We further apply our estimation to the real data and find that ours fits the data better than the classical LAD.
- Publication:
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arXiv e-prints
- Pub Date:
- November 2024
- DOI:
- 10.48550/arXiv.2411.05217
- arXiv:
- arXiv:2411.05217
- Bibcode:
- 2024arXiv241105217W
- Keywords:
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- Mathematics - Statistics Theory