$\ell_1$-Regularized Generalized Least Squares
$\ell_1$-Regularized Generalized Least Squares
In this paper we propose an $\ell_1$-regularized GLS estimator for high-dimensional regressions with potentially autocorrelated errors. We establish non-asymptotic oracle inequalities for estimation accuracy in a framework that allows for highly persistent autoregressive errors. In practice, the Whitening matrix required to implement the GLS is unkown, we present a feasible …