Sparsified-Learning for High-Dimensional Heavy-Tailed Locally Stationary Time Series, Concentration and Oracle Inequalities

arXiv:2504.06477v2 Announce Type: replace
Abstract: Sparse learning is ubiquitous in many machine learning tasks. It aims to regularize the goodness-of-fit objective by adding a penalty term to encode structural constraints on the model parameters. In this paper, we develop a flexible sparse learning framework tailored to high-dimensional heavy-tailed locally stationary time series (LSTS). The data-generating mechanism incorporates a regression function that changes smoothly over time and is observed under noise belonging to the class of sub-Weibull and regularly varying distributions. We introduce a sparsity-inducing penalized estimation procedure that combines additive modeling with kernel smoothing and define an additive kernel-smoothing hypothesis class. In the presence of locally stationary dynamics, we assume exponentially decaying $beta$-mixing coefficients to derive concentration inequalities for kernel-weighted sums of locally stationary processes with heavy-tailed noise. We further establish nonasymptotic prediction-error bounds, yielding both slow and fast convergence rates under different sparsity structures, including Lasso and total variation penalization with the least-squares loss. To support our theoretical results, we conduct numerical experiments on simulated LSTS with sub-Weibull and Pareto noise, highlighting how tail behavior affects prediction error across different covariate-dimensions as the sample size increases.