Consistency Results for Stationary Autoregressive Processes with Constrained Coefficients

Abstract: We consider stationary autoregressive processes with coefficients restricted to an ellipsoid, which includes autoregressive processes with absolutely summable coefficients. We provide consistency results under different norms for the estimation of such processes using constrained and penalized estimators. As an application we show some weak form of universal consistency. Simulations show that directly including the constraint in the estimation can lead to more robust results.