Complexity penalized least squares estimators: Analytical results

✍ Scribed by O. Wittich; A. Kempe; G. Winkler; V. Liebscher

• Publisher: John Wiley and Sons
• Year: 2008
• Tongue: English
• Weight: 212 KB
• Volume: 281
• Category: Article
• ISSN: 0025-584X
• DOI: 10.1002/mana.200510627

✦ Synopsis

Abstract

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 and uniqueness of the statistical estimate, as well as continuous dependence and stability in dependence on parameters and data. (© 2008 WILEY‐VCH Verlag GmbH & Co. KGaA, Weinheim)