Nonasymptotic bounds for autoregressive time series modeling
Nonasymptotic bounds for autoregressive time series modeling
The subject of this paper is autoregressive (AR) modeling of a stationary, Gaussian discrete time process, based on a finite sequence of observations. The process is assumed to admit an AR($\infty$) representation with exponentially decaying coefficients. We adopt the nonparametric minimax framework and study how well the process can be …