Lasso Guarantees for $ \beta $-Mixing Heavy Tailed Time Series

TL;DR

This paper establishes non-asymptotic error bounds for the lasso estimator in heavy-tailed, ta-mixing time series without relying on Gaussian assumptions, broadening its applicability to various non-linear and non-Gaussian models.

Contribution

It derives error bounds for the lasso under ta-mixing conditions for subweibull variables, extending theoretical guarantees beyond Gaussian VAR models.

Findings

Error bounds for lasso in heavy-tailed time series.

Applicability to non-Gaussian and non-linear models.

Relaxed mixing conditions for Gaussian processes.

Abstract

Many theoretical results for the lasso require the samples to be iid. Recent work has provided guarantees for the lasso assuming that the time series is generated by a sparse Vector Auto-Regressive (VAR) model with Gaussian innovations. Proofs of these results rely critically on the fact that the true data generating mechanism (DGM) is a finite-order Gaussian VAR. This assumption is quite brittle: linear transformations, including selecting a subset of variables, can lead to the violation of this assumption. In order to break free from such assumptions, we derive non-asymptotic inequalities for estimation error and prediction error of the lasso estimate of the best linear predictor without assuming any special parametric form of the DGM. Instead, we rely only on (strict) stationarity and geometrically decaying \b{eta}-mixing coefficients to establish error bounds for the lasso for subweibull random vectors. The class of subweibull random variables that we introduce includes subgaussian and subexponential random variables but also includes random variables with tails heavier than an exponential. We also show that, for Gaussian processes, the \b{eta}-mixing condition can be relaxed to summability of the {\alpha}-mixing coefficients. Our work provides an alternative proof of the consistency of the lasso for sparse Gaussian VAR models. But the applicability of our results extends to non-Gaussian and non-linear times series models as the examples we provide demonstrate.