Time-varying first-order autoregressive processes with irregular innovations

Hannah Gruber, Johannes Moritz Jirak

Publications: Working paperPreprint

Abstract

We consider a time-varying first-order autoregressive model with irregular innovations, where we assume that the coefficient function is Hölder continuous. To estimate this function, we use a quasi-maximum likelihood based approach. A precise control of this method demands a delicate analysis of extremes of certain weakly dependent processes, our main result being a concentration inequality for such quantities. Based on our analysis, upper and matching minimax lower bounds are derived, showing the optimality of our estimators. Unlike the regular case, the information theoretic complexity depends both on the smoothness and an additional shape parameter, characterizing the irregularity of the underlying distribution. The results and ideas for the proofs are very different from classical and more recent methods in connection with statistics and inference for locally stationary processes.
Original languageEnglish
PublisherarXiv.org
Number of pages34
Publication statusPublished - 23 Jan 2022

Austrian Fields of Science 2012

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