Concentration for high-dimensional linear processes with dependent innovations
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We develop concentration inequalities for the l_∞ norm of a vector linear processes on mixingale sequences with sub-Weibull tails. These inequalities make use of the Beveridge-Nelson decomposition, which reduces the problem to concentration for sup-norm of a vector-mixingale or its weighted sum. This inequality is used to obtain a concentration bound for the maximum entrywise norm of the lag-h autocovariance matrices of linear processes. These results are useful for estimation bounds for high-dimensional vector-autoregressive processes estimated using l_1 regularisation, high-dimensional Gaussian bootstrap for time series, and long-run covariance matrix estimation.
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