Maximum-likelihood asymptotic inference for autoregressive Hilbertian processes

DOI10.1007/S11009-013-9329-8MaRDI QIDQ2340309zbMATH OpenOpenAlexFDO

Authors María D. Ruiz-Medina, Rosa M. Espejo

Publication date 16 April 2015

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11009-013-9329-8

zbMATH Keywords

autoregressive Hilbertian processescentral limit resultsEM algorithmfinancial datamaximum likelihood estimationmissing functional datanumerical projection methods

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Gaussian processes (60G15) Martingales with discrete parameter (60G42) Asymptotic distribution theory in statistics (62E20) Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• A dynamic approach for reconstructing missing longitudinal data using the linear increments model
• An invariance principle for the Robbins-Monro process in a Hilbert space
• Bivariate splines for spatial functional regression models
• Functional data analysis.
• Functional maximum-likelihood estimation of ARH(\(p\)) models
• scientific article; zbMATH DE number 1776363 (Why is no real title available?)
• Inference and Prediction in Large Dimensions
• Linear processes in function spaces. Theory and applications
• Multi-spectral decomposition of functional autoregressive models
• Nonparametric functional data analysis. Theory and practice.
• Review of the methods for handling missing data in longitudinal data analysis
• Spatial autoregressive and moving average Hilbertian processes
• Weakly dependent functional data

Cited in

(3)

• Functional maximum-likelihood estimation of ARH(\(p\)) models
• Local asymptotic normality of Hilbertian autoregressive processes
• Editorial: Advanced methods for space-time environmental data

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