Strongly consistent autoregressive predictors in abstract Banach spaces
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Publication:1733280
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)
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 of bounded linear operators on B. The strong consistency of the associated plug-in predictor then follows in the -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}.
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