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

DOI10.1016/J.JSPI.2006.02.003zbMath1107.62089OpenAlexW2026005846MaRDI QIDQ872084

Yulia R. Gel, Andrey 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

autoregressive processesstrong consistencyleast-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)

Related Items (7)

Nonparametric Anomaly Detection on Time Series of Graphs ⋮ On detecting non‐monotonic trends in environmental time series: a fusion of local regression and bootstrap ⋮ Strong consistency for the conditional self-weighted \(M\) estimator of GRCA\((p)\) Models ⋮ Autoregressive frequency detection using regularized least squares ⋮ 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

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