Best linear predictor of a C_[0, 1]-valued functional autoregressive process

DOI10.1016/J.SPL.2019.03.003MaRDI QIDQ2322611zbMATH OpenOpenAlexFDO

Authors Meryem Kada Kloucha, Tahar Mourid

Publication date 5 September 2019

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2019.03.003

zbMATH Keywords

best linear predictorcovariance operatorestimationfunctional autoregressive processesmeasurable linear transformations

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Functional data analysis (62R10)

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Cites work

• A Functional Wavelet–Kernel Approach for Time Series Prediction
• A partial overview of the theory of statistics with functional data
• An introduction to recent advances in high/infinite dimensional statistics
• Asymptotic properties of a component-wise ARH(1) plug-in predictor
• Computing the best linear predictor in a Hilbert space. Applications to general ARMAH processes
• Curve forecasting by functional autoregression
• Functional Data Analysis for Sparse Longitudinal Data
• Functional data analysis.
• scientific article; zbMATH DE number 3797051 (Why is no real title available?)
• scientific article; zbMATH DE number 3188843 (Why is no real title available?)
• Inference for functional data with applications
• Linear estimators and measurable linear transformations on a Hilbert space
• Linear processes in function spaces. Theory and applications
• Nonparametric functional data analysis. Theory and practice.
• Prediction of continuous time autoregressive processes via the reproducing kernel spaces
• Prediction of continuous time processes by \(C_{[0,1]}\)-valued autoregressive process
• Sieves estimator of functional autoregressive process

Describes a project that uses

Uses Software

• fda (R)

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