Covariance operator estimation of a functional autoregressive process with random coefficients

DOI10.1016/J.SPL.2013.09.018MaRDI QIDQ2444367zbMATH OpenOpenAlexFDO

Authors Abdelaziz Allam, Tahar Mourid

Publication date 9 April 2014

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

Full work available at URL https://doi.org/10.1016/j.spl.2013.09.018

zbMATH Keywords

Hilbert-Schmidt normeigenvalues and eigenvectors

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of functional analysis in probability theory and statistics (46N30)

Recommendations

• Optimal rate for covariance operator estimators of functional autoregressive processes with random coefficients
• Estimation of mean and covariance operator for Banach space valued autoregressive processes with dependent innovations
• Resolvent estimators for functional autoregressive processes with random coefficients
• Représentation autorégressive de l'opérateur de covariance empirique d'un ARH(1). Applications
• scientific article; zbMATH DE number 4119450

Cites work

• scientific article; zbMATH DE number 646819 (Why is no real title available?)
• scientific article; zbMATH DE number 2190882 (Why is no real title available?)
• A family of minimax rates for density estimators in continuous time
• Analysis of time series subject to changes in regime
• Doubly stochastic Hilbertian processes
• Factor-based comparison of groups of curves
• Functional data analysis.
• Functional nonparametric model for time series: a fractal approach for dimension reduction
• Functional projection pursuit regression
• Inference and Prediction in Large Dimensions
• Nonparametric functional data analysis. Theory and practice.
• On Properties of Functional Principal Components Analysis
• Presmoothing in functional linear regression
• RECURSIVE ESTIMATION IN SWITCHING AUTOREGRESSIONS WITH A MARKOV REGIME
• Random coefficient autoregressive models: an introduction
• SOME DOUBLY STOCHASTIC TIME SERIES MODELS
• Semi-functional partial linear regression
• Single and multiple index functional regression models with nonparametric link
• The stochastic equation Y_n+1=A_nY_n + B_n with stationary coefficients

Cited in

(8)

• Optimal rate for covariance operator estimators of functional autoregressive processes with random coefficients
• scientific article; zbMATH DE number 4119450 (Why is no real title available?)
• On the rate of convergence for the autocorrelation operator in functional autoregression
• Sieves estimator of functional autoregressive process
• Représentation autorégressive de l'opérateur de covariance empirique d'un ARH(1). Applications
• Sieves estimator of the operator of a functional autoregressive process
• Resolvent estimators for functional autoregressive processes with random coefficients
• Lagged covariance and cross-covariance operators of processes in Cartesian products of abstract Hilbert spaces

Describes a project that uses

Uses Software

• fda (R)

This page was built for publication: Covariance operator estimation of a functional autoregressive process with random coefficients

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2444367)