Complexity Penalized Sums of Squares for Time Series: Rigorous Analytical Results
نویسندگان
چکیده
A simple variational approach to the estimation of timeseries is studied in detail and mathematical rigor. The functional in question is a complexity penalized sum of squares. The results include existence, uniqueness, continuous dependence on parameters, and stability, in dependence of parameters and data, of the statistical estimate.
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تاریخ انتشار 2004