Nonasymptotic bounds for autoregressive time series modeling.
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- A new look at the statistical model identification
- AR( infinity ) estimation and nonparametric stochastic complexity
- An optimal autoregressive spectral estimate
- Asymptotically efficient estimation for analytic distributions
- Asymptotically efficient estimation of analytic functions in Gaussian noise
- Asymptotically efficient selection of the order by the criterion autoregressive transfer function
- Asymptotically efficient selection of the order of the model for estimating parameters of a linear process
- Autocorrelation, autoregression and autoregressive approximation
- Consistent autoregressive spectral estimates
- Data-Driven Efficient Estimation of the Spectral Density
- Effects of not Knowing the Order of an Autoregressive Process on the Mean Squared Error of Prediction-1
- Estimating the dimension of a model
- Minimax theory of image reconstruction
- Moving-average representation of autoregressive approximations
- Nonparametric estimation of transfer functions: rates of convergence and adaptation
- Nonparametric statistics for stochastic processes
- REGRESSION, AUTOREGRESSION MODELS
- Some recent advances in time series modeling
- Statistical predictor identification
- The functional central limit theorem for strongly mixing processes
- Universal coding, information, prediction, and estimation
Cited in
(15)- Nonparametric sequential prediction of time series
- Finite impulse response models: a non-asymptotic analysis of the least squares estimator
- Optimal prediction for linear regression with infinitely many parameters.
- QML estimators in linear regression models with functional coefficient autoregressive processes
- Autoregressive process modeling via the Lasso procedure
- Maximum likelihood estimators in linear regression models with Ornstein-Uhlenbeck process
- Data-driven model selection for same-realization predictions in autoregressive processes
- Strong consistency of the regularized least-squares estimates of infinite autoregressive models
- Convergence of the least-squares method with a polynomial regularizer for the infinite-dimensional autoregression equation
- Accumulated prediction errors, information criteria and optimal forecasting for autoregressive time series
- Simultaneous confidence bands for sequential autoregressive fitting
- Jfon parametric time series analysis and prediction: uniform almost sure convergence of the window and jt-nn autoregression estimates
- Autoregressive approximations to nonstationary time series with inference and applications
- AR( infinity ) estimation and nonparametric stochastic complexity
- On the sample complexity of the linear quadratic regulator
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