LASSO estimation for spherical autoregressive processes

Alessia Caponera, Claudio Durastanti and Anna Vidotto

Stochastic Processes and their Applications, 2021, vol. 137, issue C, 167-199

Abstract: 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.

Keywords: Spherical functional autoregressions; LASSO method; Kernel estimation; Stability; Consistency; Oracle inequalities (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spa.2021.03.009

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