Lagged covariance and cross-covariance operators of processes in Cartesian products of abstract Hilbert spaces
DOI10.1214/22-EJS2059zbMath1504.47122MaRDI QIDQ2084461
Publication date: 18 October 2022
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/journals/electronic-journal-of-statistics/volume-16/issue-2/Lagged-covariance-and-cross-covariance-operators-of-processes-in-Cartesian/10.1214/22-EJS2059.full
estimationprincipal componentsfunctional time serieslag-\(h\)-covariance operatorlag-\(h\)-cross covariance operator
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear operators belonging to operator ideals (nuclear, (p)-summing, in the Schatten-von Neumann classes, etc.) (47B10) Analysis of variance and covariance (ANOVA) (62J10) Foundations of stochastic processes (60G05) Applications of operator theory in probability theory and statistics (47N30)
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Inference for the autocovariance of a functional time series under conditional heteroscedasticity
- Fast covariance estimation for sparse functional data
- Inference for functional data with applications
- Probability in Banach spaces. Isoperimetry and processes
- Recent developments in complex and spatially correlated functional data
- On the asymptotic normality of kernel estimators of the long run covariance of functional time series
- Weakly dependent functional data
- Weak convergence in the functional autoregressive model
- Linear processes in function spaces. Theory and applications
- Rates of convergence of autocorrelation estimates for autoregressive Hilbertian processes
- Nonparametric operator-regularized covariance function estimation for functional data
- Locally stationary functional time series
- Strongly consistent autoregressive predictors in abstract Banach spaces
- High-dimensional functional time series forecasting: an application to age-specific mortality rates
- Optimal rate for covariance operator estimators of functional autoregressive processes with random coefficients
- Asymptotic normality of the principal components of functional time series
- Change point analysis of covariance functions: a weighted cumulative sum approach
- On the rate of convergence for the autocorrelation operator in functional autoregression
- A similarity measure for second order properties of non-stationary functional time series with applications to clustering and testing
- Testing for stationarity of functional time series in the frequency domain
- Functional ARCH and GARCH models: a Yule-Walker approach
- SPHARMA approximations for stationary functional time series on the sphere
- Principal components analysis of regularly varying functions
- Strictly stationary solutions of ARMA equations in Banach spaces
- Functional data analysis.
- Nonparametric functional data analysis. Theory and practice.
- Testing stationarity of functional time series
- Asymptotics for spherical functional autoregressions
- A FUNCTIONAL VERSION OF THE ARCH MODEL
- Testing Normality of Functional Time Series
- Rates of convergence of autocorrelation estimates for periodically correlated autoregressive Hilbertian processes
- Bootstrapping covariance operators of functional time series
- Copula measures and Sklar's theorem in arbitrary dimensions
- A nonparametric test for stationarity in functional time series
- Stock market trend prediction using a functional time series approach
- Inference for the Lagged Cross‐Covariance Operator Between Functional Time Series
- Theoretical Foundations of Functional Data Analysis, with an Introduction to Linear Operators
- On the Prediction of Stationary Functional Time Series
- Functional analysis
This page was built for publication: Lagged covariance and cross-covariance operators of processes in Cartesian products of abstract Hilbert spaces
