Complexity penalized least squares estim
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O. Wittich; A. Kempe; G. Winkler; V. Liebscher
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Article
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2008
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John Wiley and Sons
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English
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## 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