Some laws of the iterated logarithm in Hilbertian autoregressive models

DOI10.1016/J.JMVA.2003.07.001zbMATH Open1142.60323OpenAlexW2033258956MaRDI QIDQ1765623FDOQ1765623

Authors: Ludovic Menneteau 

Publication date: 23 February 2005

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

Full work available at URL: https://doi.org/10.1016/j.jmva.2003.07.001

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zbMATH Keywords

Functional principal component analysisAutoregressive Hilbertian processesCovariance operatorsLaws of the iterated logarithm

Mathematics Subject Classification ID

Inference from stochastic processes (62M99) Strong limit theorems (60F15) Limit theorems for vector-valued random variables (infinite-dimensional case) (60B12)

Cites Work

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• A family of minimax rates for density estimators in continuous time
• Asymptotic theory for the principal component analysis of a vector random function: Some applications to statistical inference
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• Characterization of the law of the iterated logarithm in Banach spaces
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• Autoregressive forecasting of some functional climatic variations
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• Approximation spline de la prevision d'un processus fonctionnel autorégressif d'ordre 1
• A function space large deviation principle for certain stochastic integrals
• Some applications of Watson's perturbation approach to random matrices
• Large and moderate deviations for infinite-dimensional autoregressive processes.
• Estimation of mean and covariance operator of autoregressive processes in Banach spaces
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• A bounded law of the iterated logarithm for Hilbert space valued martingales and its application to U-statistics
• The law of iterated logarithm for \(m\)-dependent Banach space valued random variables
• A survey of functional laws of the iterated logarithm for self-similar processes

Cited In (14)

• Asymptotic normality of autoregressive processes
• A LIL for independent non-identically distributed random variables in Banach space and its applications
• The discounted large deviation principle for autoregressive processes
• A review study of functional autoregressive models with application to energy forecasting
• Consistency of the plug-in functional predictor of the Ornstein-Uhlenbeck process in Hilbert and Banach spaces
• Moderate deviation principles for empirical covariance in the neighbourhood of the unit root
• Weak convergence in the functional autoregressive model
• The law of iterated logarithm for autoregressive processes
• Large and moderate deviations for infinite-dimensional autoregressive processes.
• A log log law for unstable ARMA models with applications to time series analysis
• Laws of the iterated logarithm and an almost sure invariance principle for mixing \(B\)-valued random variables and autoregressive processes
• Asymptotic properties of a component-wise ARH(1) plug-in predictor
• The Discounted Berry-Esséen Analogue for Autoregressive Processes
• Moderate deviation principle for autoregressive processes

Uses Software

• fda (R)

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