Complexity penalized least squares estimators: Analytical results | Zendy

Wittich O. | Zendy; Kempe A. | Zendy; Winkler G. | Zendy; Liebscher V. | Zendy

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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)

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