Nonasymptotic bounds for autoregressive time series modeling.
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Publication:1848866
DOI10.1214/AOS/1009210547zbMATH Open1041.62074OpenAlexW1523507525MaRDI QIDQ1848866FDOQ1848866
Authors: Alexander Goldenshluger, Assaf Zeevi 
Publication date: 14 November 2002
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aos/1009210547
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Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)
Cites Work
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Cited In (15)
- Data-driven model selection for same-realization predictions in autoregressive processes
- AR( infinity ) estimation and nonparametric stochastic complexity
- Jfon parametric time series analysis and prediction: uniform almost sure convergence of the window and jt-nn autoregression estimates
- On the sample complexity of the linear quadratic regulator
- Strong consistency of the regularized least-squares estimates of infinite autoregressive models
- QML estimators in linear regression models with functional coefficient autoregressive processes
- Finite impulse response models: a non-asymptotic analysis of the least squares estimator
- Optimal prediction for linear regression with infinitely many parameters.
- Convergence of the least-squares method with a polynomial regularizer for the infinite-dimensional autoregression equation
- Nonparametric sequential prediction of time series
- Maximum likelihood estimators in linear regression models with Ornstein-Uhlenbeck process
- Autoregressive approximations to nonstationary time series with inference and applications
- Autoregressive process modeling via the Lasso procedure
- Accumulated prediction errors, information criteria and optimal forecasting for autoregressive time series
- Simultaneous confidence bands for sequential autoregressive fitting
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