Generalization error bounds for stationary autoregressive models

Details Generalization error bounds for stationary autoregressive models Generalization error bounds for stationary autoregressive models

2011-03-04

arxiv.org/abs/1103.0942v2

Statistics

Machine Learning

10 pages, 3 figures. CMU Statistics Technical Report

Scientific paper

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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