Lagged covariance and cross-covariance operators of processes in Cartesian products of abstract Hilbert spaces

DOI10.1214/22-EJS2059zbMath1504.47122MaRDI QIDQ2084461

Sebastian Kuhnert

Publication date: 18 October 2022

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/journals/electronic-journal-of-statistics/volume-16/issue-2/Lagged-covariance-and-cross-covariance-operators-of-processes-in-Cartesian/10.1214/22-EJS2059.full

zbMATH Keywords

estimationprincipal componentsfunctional time serieslag-\(h\)-covariance operatorlag-\(h\)-cross covariance operator

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear operators belonging to operator ideals (nuclear, (p)-summing, in the Schatten-von Neumann classes, etc.) (47B10) Analysis of variance and covariance (ANOVA) (62J10) Foundations of stochastic processes (60G05) Applications of operator theory in probability theory and statistics (47N30)

Uses Software

• fda (R)

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