The adaptive Lasso estimator of AR(p) time series with applications to INAR(p) and Hawkes processes
We study the consistency and the oracle properties of the adaptive Lasso estimator for the coefficients
of a linear AR(p) time series with a strictly stationary white noise (not necessarily described
by i.i.d. r.v.'s). We apply the results to INAR(p) time series and to the non-parametric inference
of the fertility function of a Hawkes point process. We present some numerical simulations to emphasize
the advantages of the proposed procedure with respect to more classical ones and finally
we apply it to a set of epidemiological data






