Estimation of the autoregressive operator by wavelet packets

DOI10.1016/j.spl.2008.07.011zbMath1152.62369OpenAlexW2037326002MaRDI QIDQ2518950

Ricardas Laukaitis, Olegas Vasilecas, Algirdas Laukaitis

Publication date: 21 January 2009

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

Full work available at URL: https://doi.org/10.1016/j.spl.2008.07.011

zbMATH Keywords

Hilbert spacessimulations

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Applications of functional analysis in probability theory and statistics (46N30)

Related Items (1)

Consistency of the plug-in functional predictor of the Ornstein-Uhlenbeck process in Hilbert and Banach spaces

Uses Software

• fda (R)

Cites Work

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• Functional data analysis
• Wavelet methods for continuous-time prediction using Hilbert-valued autoregressive processes
• Linear processes in function spaces. Theory and applications
• Adaptive covariance estimation of locally stationary processes
• Testing changes in Hilbert space autoregressive models
• Fast wavelet transforms and numerical algorithms I
• A Class of Bases in $L^2$ for the Sparse Representation of Integral Operators

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