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• W3123574552 abstract "Sequential data with serial correlation and an unknown, unstructured, and dynamic background is ubiquitous in neuroscience, psychology, and econometrics. Inferring serial correlation for such data is a fundamental challenge in statistics. We propose a total variation constrained least square estimator coupled with hypothesis tests to infer the serial correlation in the presence of unknown and unstructured dynamic background. The total variation constraint on the dynamic background encourages a piece-wise constant structure, which can approximate a wide range of dynamic backgrounds. The tuning parameter is selected via the Ljung-Box test to control the bias-variance trade-off. We establish a non-asymptotic upper bound for the estimation error through variational inequalities. We also derive a lower error bound via Fano's method and show the proposed method is near-optimal. Numerical simulation and a real study in psychology demonstrate the excellent performance of our proposed method compared with the state-of-the-art." @default.
• W3123574552 created "2021-02-01" @default.
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• W3123574552 date "2021-01-26" @default.
• W3123574552 modified "2023-09-27" @default.
• W3123574552 title "Inferring serial correlation with dynamic backgrounds" @default.
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