The analysis of non-real-valued data, such as binary time series, has attracted great interest in recent years. This manuscript proposes a post-selection estimator for estimating the coefficient matrices of a high-dimensional generalized binary vector autoregressive process and establishes a Gaussian approximation theorem for the proposed estimator. Furthermore, it introduces a second-order wild bootstrap algorithm to enable statistical inference on the coefficient matrices. Numerical studies and empirical applications demonstrate the good finite-sample performance of the proposed method.
翻译:近年来,对非实值数据(如二元时间序列)的分析引起了广泛关注。本文提出了一种后选择估计量,用于估计高维广义二元向量自回归过程的系数矩阵,并为该估计量建立了高斯逼近定理。此外,本文引入了一种二阶野生自助法算法,以实现对系数矩阵的统计推断。数值模拟与实证应用表明,所提方法具有良好的有限样本性能。