Penalized estimation of threshold auto-regressive models with many components and thresholds.

Thanks to their simplicity and interpretable structure, autoregressive processes are widely used to model time series data. However, many real time series data sets exhibit non-linear patterns, requiring nonlinear modeling. The threshold Auto-Regressive (TAR) process provides a family of non-linear auto-regressive time series models in which the process dynamics are specific step functions of a thresholding variable. While estimation and inference for low-dimensional TAR models have been investigated, high-dimensional TAR models have received less attention. In this article, we develop a new framework for estimating high-dimensional TAR models, and propose two different sparsity-inducing penalties. The first penalty corresponds to a natural extension of classical TAR model to high-dimensional settings, where the same threshold is enforced for all model parameters. Our second penalty develops a more flexible TAR model, where different thresholds are allowed for different auto-regressive coefficients. We show that both penalized estimation strategies can be utilized in a three-step procedure that consistently learns both the thresholds and the corresponding auto-regressive coefficients. However, our theoretical and empirical investigations show that the direct extension of the TAR model is not appropriate for high-dimensional settings and is better suited for moderate dimensions. In contrast, the more flexible extension of the TAR model leads to consistent estimation and superior empirical performance in high dimensions.

Multiple-Parameter Estimation Method Based on Spatio-Temporal 2-D Processing for Bistatic MIMO Radar.

A novel spatio-temporal 2-dimensional (2-D) processing method that can jointly estimate the transmitting-receiving azimuth and Doppler frequency for bistatic multiple-input multiple-output (MIMO) radar in the presence of spatial colored noise and an unknown number of targets is proposed. In the temporal domain, the cross-correlation of the matched filters' outputs for different time-delay sampling is used to eliminate the spatial colored noise. In the spatial domain, the proposed method uses a diagonal loading method and subspace theory to estimate the direction of departure (DOD) and direction of arrival (DOA), and the Doppler frequency can then be accurately estimated through the estimation of the DOD and DOA. By skipping target number estimation and the eigenvalue decomposition (EVD) of the data covariance matrix estimation and only requiring a one-dimensional search, the proposed method achieves low computational complexity. Furthermore, the proposed method is suitable for bistatic MIMO radar with an arbitrary transmitted and received geometrical configuration. The correction and efficiency of the proposed method are verified by computer simulation results.