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stat.ML2019★ 4 cited
A Finite-Sample Deviation Bound for Stable Autoregressive Processes
Rodrigo A. González, Cristian R. Rojas
In this paper, we study non-asymptotic deviation bounds of the least squares estimator in Gaussian AR() processes. By relying on martingale concentration inequalities and a tail…
math.ST2019
Finite sample deviation and variance bounds for first order autoregressive processes
Rodrigo A. González, Cristian R. Rojas
In this paper, we study finite-sample properties of the least squares estimator in first order autoregressive processes. By leveraging a result from decoupling theory, we derive up…