Estimation error for blind Gaussian time series prediction

DOI10.3103/S1066530711030033MaRDI QIDQ647755zbMATH OpenFDO

Authors Thibault Espinasse, Fabrice Gamboa, Jean-Michel Loubes

Publication date 24 November 2011

Published in Mathematical Methods of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1002.0152

zbMATH Keywords

covariance estimationasymptotic statistics

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

Abstract: We tackle the issue of the blind prediction of a Gaussian time series. For this, we construct a projection operator build by plugging an empirical covariance estimation into a Schur complement decomposition of the projector. This operator is then used to compute the predictor. Rates of convergence of the estimates are given.

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Cited in

(1)

• A kriging procedure for processes indexed by graphs

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Uses Software

• itsmr

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