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.
LASSO estimation for spherical autoregressive processes / Caponera, Alessia; Durastanti, C.; Vidotto, A.. - In: STOCHASTIC PROCESSES AND THEIR APPLICATIONS. - ISSN 0304-4149. - 137:(2021), pp. 167-199. [10.1016/j.spa.2021.03.009]
LASSO estimation for spherical autoregressive processes
Caponera A.;
2021
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.
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