Concentration for high-dimensional linear processes with dependent innovations

Abstract

We develop concentration inequalities for the $l_\infty$ 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