Rates of convergence of autocorrelation estimates for autoregressive Hilbertian processes

DOI10.1016/S0167-7152(01)00151-1MaRDI QIDQ1612934zbMATH OpenOpenAlexFDO

Authors S. Guillas

Publication date 5 September 2002

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0167-7152(01)00151-1

zbMATH Keywords

functional datarate of convergenceHilbert spaceautoregressive processes

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of functional analysis in probability theory and statistics (46N30)

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Cites work

• scientific article; zbMATH DE number 17221 (Why is no real title available?)
• A family of minimax rates for density estimators in continuous time
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• Autoregressive forecasting of some functional climatic variations
• Functional linear model
• Non-causalité et discrétisation fonctionnelle, théorèmes limites pour un processus
• Normalité asymptotique de l'estimateur empirique de l'opérateur d'autocorrélation d'un processus ARH(1)
• Ridge Regression: Biased Estimation for Nonorthogonal Problems

Cited in

(23)

• A note on strong-consistency of componentwise ARH(1) predictors
• Boosting for real and functional samples: an application to an environmental problem
• Testing changes in Hilbert space autoregressive models
• Kalman filtering from POP-based diagonalization of ARH(1)
• The Maximum of the Periodogram of a Sequence of Functional Data
• Rates of convergence of autocorrelation estimates for periodically correlated autoregressive Hilbertian processes
• Forecasting limit order book liquidity supply-demand curves with functional autoregressive dynamics
• scientific article; zbMATH DE number 1398562 (Why is no real title available?)
• On the rate of convergence for the autocorrelation operator in functional autoregression
• Estimation and simulation of autoregressive Hilbertian processes with exogenous variables
• Consistency of the plug-in functional predictor of the Ornstein-Uhlenbeck process in Hilbert and Banach spaces
• Functional maximum-likelihood estimation of ARH(\(p\)) models
• scientific article; zbMATH DE number 2190882 (Why is no real title available?)
• Convergence Rate of Empirical Autocovariance Operators in H-Valued Periodically Correlated Processes
• Dynamical multiple regression in function spaces, under kernel regressors, with ARH(1) errors
• Uniform convergence and asymptotic confidence bands for model-assisted estimators of the mean of sampled functional data
• Représentation autorégressive de l'opérateur de covariance empirique d'un ARH(1). Applications
• scientific article; zbMATH DE number 4155720 (Why is no real title available?)
• Normalité asymptotique de l'estimateur empirique de l'opérateur d'autocorrélation d'un processus ARH(1)
• Asymptotic properties of a component-wise ARH(1) plug-in predictor
• Lagged covariance and cross-covariance operators of processes in Cartesian products of abstract Hilbert spaces
• Doubly stochastic Hilbertian processes
• Moving averages in Hilbert spaces

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