Strong consistency of the regularized least-squares estimates of infinite autoregressive models

DOI10.1016/J.JSPI.2006.02.003zbMATH Open1107.62089OpenAlexW2026005846MaRDI QIDQ872084FDOQ872084

Authors Yulia R. Gel, A. E. Barabanov 

Publication date 27 March 2007

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jspi.2006.02.003

zbMATH Keywords

strong consistencyautoregressive processesleast-squares estimatesstochastic regressors

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sequential estimation (62L12)

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Cited In (11)

• Autoregressive frequency detection using regularized least squares
• Strong consistency for the conditional self-weighted \(M\) estimator of GRCA\((p)\) Models
• Title not available (Why is no real title available?)
• STRONG CONSISTENCY AND ASYMPTOTIC NORMALITY OF /1 ESTIMATES OF THE AUTOREGRESSIVE MOVING-AVERAGE MODEL
• On detecting non‐monotonic trends in environmental time series: a fusion of local regression and bootstrap
• A local factor nonparametric test for trend synchronism in multiple time series
• Banded regularization of autocovariance matrices in application to parameter estimation and forecasting of time series
• Discussion of ``High-dimensional autocovariance matrices and optimal linear prediction
• Convergence of the least-squares method with a polynomial regularizer for the infinite-dimensional autoregression equation
• STRONG CONSISTENCY RESULTS FOR LEAST SQUARES ESTIMATORS IN GENERAL VECTOR AUTOREGRESSIONS WITH DETERMINISTIC TERMS
• Nonparametric Anomaly Detection on Time Series of Graphs

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