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Generalization error bounds for stationary autoregressive models

Authors
  • McDonald, Daniel J.
  • Shalizi, Cosma Rohilla
  • Schervish, Mark
Type
Preprint
Publication Date
Jun 03, 2011
Submission Date
Mar 04, 2011
Source
arXiv
License
Yellow
External links

Abstract

We derive generalization error bounds for stationary univariate autoregressive (AR) models. We show that imposing stationarity is enough to control the Gaussian complexity without further regularization. This lets us use structural risk minimization for model selection. We demonstrate our methods by predicting interest rate movements.

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