On the adaptive Lasso estimator of AR(p) time series with applications to INAR(p) and Hawkes processes

We investigate the consistency and the rate of convergence of the adaptive Lasso estimator for the parameters of linear AR(p) time series with a white noise which is a strictly stationary and ergodic martingale difference. Roughly speaking, we prove that (𝑖) If the white noise has a finite second moment, then the adaptive Lasso estimator is almost sure consistent (𝑖𝑖) If the white noise has a finite fourth moment, then the error estimate converges to zero with the same rate as the regularizing parameters of the adaptive Lasso estimator. Such theoretical findings are applied to estimate the parameters of INAR(p) time series and to estimate the fertility function of Hawkes processes. The results are validated by some numerical simulations, which show that the adaptive Lasso estimator allows for a better balancing between bias and variance with respect to the Conditional Least Square estimator and the classical Lasso estimator.