摘要：We would like to congratulate the authors for this highly motivating work on prediction of stationary time series. This paper does an excellent job addressing the relationship between the problems of estimating high dimensional covariance matrices and finding best linear predictors, and systematizing the current approaches to regularization in time series. Several regularization procedures are proposed, tackling the issue of calculating optimal predictors in the case that p-order dependence approaches the sample size n. The proposed techniques are validated by extensive Monte Carlo simulations and real-data applications.
