Sparsified-Learning for High-Dimensional Heavy-Tailed Locally Stationary Time Series, Concentration and Oracle Inequalities
arXiv:2504.06477v2 Announce Type: replace Abstract: Sparse learning is ubiquitous in many machine learning tasks. It aims to regularize the goodness-of-fit objective by adding a penalty term to encode structural constraints on the model parameters. In this paper, we develop a flexible sparse learning framework tailored to high-dimensional heavy-tailed locally stationary time series (LSTS). The data-generating mechanism incorporates a regression function that changes smoothly over time and is observed under noise belonging to the class of sub-Weibull and regularly […]