LASSO estimation for spherical autoregressive processes

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:137

Article

Caponera, Alessia^1,2  Durastanti, Claudio³  Vidotto, Anna^2,4 

[1] Sapienza Univ Roma, Dipartimento Sci Stat, Rome, Italy

[2] Univ Roma Tor Vergata, Dipartimento Matemat, Rome, Italy

[3] Sapienza Univ Roma, Dipartimento SBAI, Rome, Italy

[4] Univ G DAnnunzio, Dipartimento Econ, Chieti, Italy

关键词: Spherical functional autoregressions;    LASSO method;    Kernel estimation;    Stability;    Consistency;    Oracle inequalities;   

DOI  :  10.1016/j.spa.2021.03.009

来源: Elsevier

【 摘 要 】

The purpose of the present paper is to investigate a class of spherical functional autoregressive processes in order to introduce and study LASSO (Least Absolute Shrinkage and Selection Operator) type estimators for the corresponding autoregressive kernels, defined in the harmonic domain by means of their spectral decompositions. Some crucial properties for these estimators are proved, in particular, consistency and oracle inequalities. (C) 2021 Elsevier B.V. All rights reserved.

【 授权许可】

Free