Title: 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.