Generalization error bounds for stationary autoregressive models

We derive generalization error bounds for stationary univariate autoregressive (AR) models. We show that the stationarity assumption alone lets us treat the estimation of AR models as a regularized kernel regression without the need to further regularize the model arbitrarily. We thereby bound the Rademacher complexity of AR models and apply existing Rademacher complexity results to characterize the predictive risk of AR models. We demonstrate our methods by predicting interest rate movements.