Finite Sample Deviation And Variance Bounds For First Order Autoregressive Processes

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Finite Sample Deviation And Variance Bounds For First Order Autoregressive Processes


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Finite Sample Deviation And Variance Bounds For First Order Autoregressive Processes

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In this paper, we study finite-sample properties of the least squares estimator in first order autoregressive processes. By leveraging a result from decoupling theory, we derive upper bounds on the probability that the estimate deviates by at least a posi
In this paper, we study finite-sample properties of the least squares estimator in first order autoregressive processes. By leveraging a result from decoupling theory, we derive upper bounds on the probability that the estimate deviates by at least a posi