Covariance operator estimation of a functional autoregressive process with random coefficients

DOI10.1016/J.SPL.2013.09.018zbMATH Open1284.62541OpenAlexW1991956084MaRDI QIDQ2444367FDOQ2444367

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

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• scientific article; zbMATH DE number 4119450

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)

Cites Work

• Functional data analysis.
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• On Properties of Functional Principal Components Analysis
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• SOME DOUBLY STOCHASTIC TIME SERIES MODELS
• Inference and Prediction in Large Dimensions
• Single and multiple index functional regression models with nonparametric link
• Functional nonparametric model for time series: a fractal approach for dimension reduction
• Functional projection pursuit regression
• Semi-functional partial linear regression
• Analysis of time series subject to changes in regime
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• Random coefficient autoregressive models: an introduction
• RECURSIVE ESTIMATION IN SWITCHING AUTOREGRESSIONS WITH A MARKOV REGIME
• Presmoothing in functional linear regression
• Factor-based comparison of groups of curves
• Doubly stochastic Hilbertian processes

Cited In (7)

• Optimal rate for covariance operator estimators of functional autoregressive processes with random coefficients
• Title not available (Why is that?)
• 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

Uses Software

• fda (R)

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