Estimation and simulation of autoregressive Hilbertian processes with exogenous variables

DOI10.1007/s11203-004-1031-6zbMath1076.62087MaRDI QIDQ2573221

Serge Guillas, Julien Damon

Publication date: 7 November 2005

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11203-004-1031-6

zbMATH Keywords

simulation; forecasting; autoregressive processes; functional data; exogenous variables; ARHX

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

46N30: Applications of functional analysis in probability theory and statistics

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Uses Software

• fda (R)

Cites Work

• Estimation of an autoregressive semiparametric model with exogenous variables
• Functional data analysis
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• Approximation spline de la prevision d'un processus fonctionnel autorégressif d'ordre 1
• NONPARAMETRIC ESTIMATION OF ADDITIVE NONLINEAR ARX TIME SERIES: LOCAL LINEAR FITTING AND PROJECTIONS
• Sieve Extremum Estimates for Weakly Dependent Data