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math.ST2019
Finite impulse response models: A non-asymptotic analysis of the least squares estimator
Boualem Djehiche, Othmane Mazhar, Cristian R. Rojas
We consider a finite impulse response system with centered independent sub-Gaussian design covariates and noise components that are not necessarily identically distributed. We deri…
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…