Strongly consistent autoregressive predictors in abstract Banach spaces

DOI10.1016/J.JMVA.2018.08.001zbMATH Open1481.62064arXiv1801.08817OpenAlexW2963554367WikidataQ129392479 ScholiaQ129392479MaRDI QIDQ1733280FDOQ1733280

Authors: María D. Ruiz-Medina, Javier Álvarez-Liébana 

Publication date: 21 March 2019

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Abstract: This work derives new results on strong consistent estimation and prediction for autoregressive processes of order 1 in a separable Banach space B. The consistency results are obtained for the componentwise estimator of the autocorrelation operator in the norm of the space $mathcalL(B)$ of bounded linear operators on B. The strong consistency of the associated plug-in predictor then follows in the $B$-norm. A Gelfand triple is defined through the Hilbert space constructed in Kuelbs' Lemma cite{Kuelbs70}. A Hilbert--Schmidt embedding introduces the Reproducing Kernel Hilbert space (RKHS), generated by the autocovariance operator, into the Hilbert space conforming the Rigged Hilbert space structure. This paper extends the work of cite{Bosq00} and cite{LabbasMourid02}.

Full work available at URL: https://arxiv.org/abs/1801.08817

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zbMATH Keywords

Banach spacescontinuous embeddingsstrongly consistent estimatorsfunctional plug-in predictors

Mathematics Subject Classification ID

General nonlinear regression (62J02) Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Prediction theory (aspects of stochastic processes) (60G25) Isometric theory of Banach spaces (46B04) Hilbert spaces with reproducing kernels (= (proper) functional Hilbert spaces, including de Branges-Rovnyak and other structured spaces) (46E22) (L^p)-limit theorems (60F25) Topological data analysis (62R40)

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Cited In (7)

• Estimating the conditional distribution in functional regression problems
• Recent advances in functional data analysis and high-dimensional statistics
• COINTEGRATION AND REPRESENTATION OF COINTEGRATED AUTOREGRESSIVE PROCESSES IN BANACH SPACES
• On the rate of convergence for the autocorrelation operator in functional autoregression
• Consistency of the plug-in functional predictor of the Ornstein-Uhlenbeck process in Hilbert and Banach spaces
• Functional ARCH and GARCH models: a Yule-Walker approach
• Lagged covariance and cross-covariance operators of processes in Cartesian products of abstract Hilbert spaces

Uses Software

• fda (R)

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