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

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

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

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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)

Cites Work

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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 that?)
• 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
• 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
• Banded Regularization of Autocovariance Matrices in Application to Parameter Estimation and Forecasting of Time Series
• Nonparametric Anomaly Detection on Time Series of Graphs

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