Functional maximum-likelihood estimation of ARH(p) models

DOI10.1007/S00477-009-0306-2zbMATH Open1416.62525OpenAlexW2032915671MaRDI QIDQ2002004FDOQ2002004

María D. Ruiz-Medina, Román Salmerón

Publication date: 11 July 2019

Published in: Stochastic Environmental Research and Risk Assessment (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00477-009-0306-2

zbMATH Keywords

dimension reductionsingular value decompositionmaximum-likelihood estimationfinite-dimensional approximationfunctional parametersautoregressive Hilbertian modelsspatial functional data sequence

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

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Cited In (7)

• Least-squares estimation of multifractional random fields in a Hilbert-valued context
• Title not available (Why is that?)
• Spatial autoregressive and moving average Hilbertian processes
• New compactly supported spatiotemporal covariance functions from SPDEs
• Consistency of the plug-in functional predictor of the Ornstein-Uhlenbeck process in Hilbert and Banach spaces
• Maximum-likelihood asymptotic inference for autoregressive Hilbertian processes
• Computing functional estimators of spatiotemporal long-range dependence parameters in the spectral-wavelet domain

Uses Software

• fda (R)

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