arXiv Open Access 2017

Consistency Results for Stationary Autoregressive Processes with Constrained Coefficients

Alessio Sancetta

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Abstrak

We consider stationary autoregressive processes with coefficients restricted to an ellipsoid, which includes autoregressive processes with absolutely summable coefficients. We provide consistency results under different norms for the estimation of such processes using constrained and penalized estimators. As an application we show some weak form of universal consistency. Simulations show that directly including the constraint in the estimation can lead to more robust results.

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Alessio Sancetta

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Sancetta, A. (2017). Consistency Results for Stationary Autoregressive Processes with Constrained Coefficients. https://arxiv.org/abs/1706.02492

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Tahun Terbit: 2017
Bahasa: en
Sumber Database: arXiv
Akses: Open Access ✓