Sparse Regression with $\ell_0$ Constraints for $\alpha$-Mixing Time Series: Algorithms and Guarantees
Published in Forty-third International Conference on Machine Learning (ICML), 2026
We study exact sparse time-series modeling via $\ell_0$-constrained least squares under temporal dependence. For stationary $\alpha$-mixing Gaussian processes with sparse coefficients, we establish high-probability RSC/RSS for the empirical quadratic loss and obtain nonasymptotic statistical guarantees for exact sparse algorithms such as iterative hard thresholding (IHT).
