Sampling Requirements for Stable Autoregressive Estimation

DOI10.1109/TSP.2017.2656848zbMATH Open1414.94291arXiv1605.01436OpenAlexW2346621814MaRDI QIDQ4620759

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Publication date: 8 February 2019

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Abstract: We consider the problem of estimating the parameters of a linear univariate autoregressive model with sub-Gaussian innovations from a limited sequence of consecutive observations. Assuming that the parameters are compressible, we analyze the performance of the $el{l}_1$-regularized least squares as well as a greedy estimator of the parameters and characterize the sampling trade-offs required for stable recovery in the non-asymptotic regime. In particular, we show that for a fixed sparsity level, stable recovery of AR parameters is possible when the number of samples scale sub-linearly with the AR order. Our results improve over existing sampling complexity requirements in AR estimation using the LASSO, when the sparsity level scales faster than the square root of the model order. We further derive sufficient conditions on the sparsity level that guarantee the minimax optimality of the $el{l}_1$-regularized least squares estimate. Applying these techniques to simulated data as well as real-world datasets from crude oil prices and traffic speed data confirm our predicted theoretical performance gains in terms of estimation accuracy and model selection.

Full work available at URL: https://arxiv.org/abs/1605.01436

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