Wavelet methods for continuous-time prediction using Hilbert-valued autoregressive processes

DOI10.1016/S0047-259X(03)00028-9zbMath1030.62075OpenAlexW2058400503MaRDI QIDQ1414608

Anestis Antoniadis, Theofanis Sapatinas

Publication date: 4 December 2003

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0047-259x(03)00028-9

zbMATH Keywords

Banach spacesSobolev spacesTikhonov-Phillips regularizationHilbert spacesBesov spacesSingular value decompositionWaveletsSmoothing splinesAutoregressive Hilbert processesContinuous-time predictionEl Niño-Southern OscillationsIll-posed inverse problemsSARIMA models

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Applications of statistics to environmental and related topics (62P12) Ill-posedness and regularization problems in numerical linear algebra (65F22) Applications of functional analysis in probability theory and statistics (46N30) Probability theory on linear topological spaces (60B11)

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Uses Software

• fda (R)
• WaveLab
• reccv

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