IDEAS home Printed from https://ideas.repec.org/a/bla/jtsera/v47y2026i2p345-363.html

Simultaneous Estimation of Stable Parameters for Multiple Autoregressive Processes From Datasets of Nonuniform Sizes

Author

Listed:
  • Johannes Lederer
  • Rainer von Sachs

Abstract

We develop a finite‐sample theory for estimating the coefficients and for the prediction of multiple stable autoregressive processes that (i) share an unknown lag order but (ii) can differ in their sample sizes. Our technique is based on penalisation similar to hierarchical, overlapping group‐Lasso but requires a new mathematical set‐up to accommodate (i) and (ii). The set‐up differs from existing work considerably, for example, in that we estimate the common lag order directly from the data rather than using extrinsic criteria. We prove that the estimated autoregressive processes enjoy stability, and we establish rates for both the estimation and prediction error that can outmatch the known rates in our setting. Our insights on lag selection and stability are also of interest in the case of individual autoregressive processes.

Suggested Citation

  • Johannes Lederer & Rainer von Sachs, 2026. "Simultaneous Estimation of Stable Parameters for Multiple Autoregressive Processes From Datasets of Nonuniform Sizes," Journal of Time Series Analysis, Wiley Blackwell, vol. 47(2), pages 345-363, March.
    • Handle: RePEc:bla:jtsera:v:47:y:2026:i:2:p:345-363
    DOI: 10.1111/jtsa.12806
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/jtsa.12806
    Download Restriction: no
    File URL: https://libkey.io/10.1111/jtsa.12806?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:jtsera:v:47:y:2026:i:2:p:345-363. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0143-9782 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.