On minimax identification of nonparametric autoregressive models
- 48 Downloads
We consider the problem of nonparametric identification for a multi-dimensional functional autoregression y t = f(y t −1, …,y t−d ) + e t on the basis of N observations of y t . In the case when the unknown nonlinear function f belongs to the Barron class, we propose an estimation algorithm which provides approximations of f with expected L2 accuracy O(N1/4ln1/4N). We also show that this approximation rate cannot be significantly improved.
The proposed algorithms are “computationally efficient”– the total number of elementary computations necessary to complete the estimate grows polynomially with N.
Unable to display preview. Download preview PDF.