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Complexity penalized least squares estimators: Analytical results
Author(s) -
Wittich O.,
Kempe A.,
Winkler G.,
Liebscher V.
Publication year - 2008
Publication title -
mathematische nachrichten
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.913
H-Index - 50
eISSN - 1522-2616
pISSN - 0025-584X
DOI - 10.1002/mana.200510627
Subject(s) - mathematics , estimator , uniqueness , simple (philosophy) , stability (learning theory) , least squares function approximation , series (stratigraphy) , econometrics , statistics , algorithm , mathematical optimization , computer science , mathematical analysis , machine learning , paleontology , philosophy , epistemology , biology
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)