Nonparametric prediction of a Hilbert space valued random variable

Prediction theory (aspects of stochastic processes) (60G25) Markov processes: estimation; hidden Markov models (62M05) Inference from stochastic processes and prediction (62M20)

Review text

Asymptotic properties of the prediction of the transformation \(g(\xi_{T+h})\) based on the observations \(\xi_ t\), \(0\leq t\leq T\), of the measurable, strictly stationary Markov process \(\xi_ t\), \(t\in {\mathbb{R}}\), taking values in a measurable space (E,\({\mathcal B})\), is studied where g is a mapping from E into a separable Hilbert space. A statistical nonparametric predictor of \(g(\xi_{T+h})\) generalizes the predictogram [see \textit{G. Collomb}, Specifying statistical models, Proc. 2nd Franco-Belgian Meet. Stat., Louvain-la-Neuve/Belg. 1981, Lect. Notes Stat. 16, 182-204 (1983; Zbl 0538.62033)]. Some applications of the main results are considered in the paper, too.

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