Rate-optimal robust estimation of high-dimensional vector autoregressive models
针对高维向量自回归模型，提出一种对模型误设、重尾噪声和条件异方差稳健的统一估计方法，在弱矩条件下达到极小化最优收敛速度，并通过模拟和美国宏观经济数据验证了有效性。
High-dimensional time series data appear in many scientific areas in the current data-rich environment. Analysis of such data poses new challenges to data analysts because of not only the complicated dynamic dependence between the series, but also the existence of aberrant observations, such as missing values, contaminated observations, and heavy-tailed distributions. For high-dimensional vector autoregressive (VAR) models, we introduce a unified estimation procedure that is robust to model misspecification, heavy-tailed noise contamination, and conditional heteroscedasticity. The proposed methodology enjoys both statistical optimality and computational efficiency, and can handle many popular high-dimensional models, such as sparse, reduced-rank, banded, and network-structured VAR models. With proper regularization and data truncation, the estimation convergence rates are shown to be almost optimal in the minimax sense under a bounded (2+2ϵ)th moment condition. When ϵ≥1, the rates of convergence match those obtained under the sub-Gaussian assumption. Consistency of the proposed estimators is also established for some ϵ∈(0,1), with minimax optimal convergence rates associated with ϵ. The efficacy of the proposed estimation methods is demonstrated by simulation and a U.S. macroeconomic example.