Prediction of continuous time autoregressive processes via the reproducing kernel spaces

DOI10.1023/A:1025852517084MaRDI QIDQ1421726zbMATH OpenOpenAlexFDO

Authors Fatiha Mokhtari, Tahar Mourid

Publication date 3 February 2004

Published in Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1025852517084

zbMATH Keywords

reproducing kernel spacefunctional autoregressive processParzen's predictor

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Inference from stochastic processes and prediction (62M20)

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Cited in

(10)

• Best linear predictor of a \(C_{[0, 1]}\)-valued functional autoregressive process
• Strongly consistent autoregressive predictors in abstract Banach spaces
• Aspects of prediction
• Varying coefficient functional autoregressive model with application to the U.S. treasuries
• A review study of functional autoregressive models with application to energy forecasting
• An Adaptive Functional Autoregressive Forecast Model to Predict Electricity Price Curves
• Prediction of dynamical time series using kernel based regression and smooth splines
• Variable Selection for the Prediction of C[0,1]-Valued Autoregressive Processes using Reproducing Kernel Hilbert Spaces
• Kernel-based prediction of non-Markovian time series
• Prediction of autoregressive processes via the reproducing kernel spaces

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