Estimation and simulation of autoregressive Hilbertian processes with exogenous variables

DOI10.1007/s11203-004-1031-6zbMath1076.62087OpenAlexW2131200099MaRDI 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

simulationforecastingautoregressive processesfunctional dataexogenous variablesARHX

Mathematics Subject Classification ID

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

Related Items (10)

Detecting and estimating intensity of jumps for discretely observed \(\mathrm{ARMA}D(1,1)\) processes ⋮ Spline estimation of partially linear regression models for time series with correlated errors ⋮ Asymptotic properties of a component-wise ARH(1) plug-in predictor ⋮ Conjugate processes: theory and application to risk forecasting ⋮ CLUSTERING FUNCTIONAL DATA USING WAVELETS ⋮ Functional maximum-likelihood estimation of ARH(\(p\)) models ⋮ Exponential bounds for intensity of jumps ⋮ On the CLT for discrete Fourier transforms of functional time series ⋮ Functional time series model identification and diagnosis by means of auto- and partial autocorrelation analysis ⋮ Functional semiparametric partially linear model with autoregressive errors

Uses Software

• fda (R)

Cites Work

• Estimation of an autoregressive semiparametric model with exogenous variables
• Functional data analysis
• Rates of convergence of autocorrelation estimates for autoregressive Hilbertian processes
• Bayesian multiperiod forecasts for ARX models
• Prediction of continuous time processes by \(C_{[0,1}\)-valued autoregressive process]
• Autoregressive Forecasting of Some Functional Climatic Variations
• Recursive Relations for Multistep Prediction of a Stationary Time Series
• Asymptotic prediction mean squared error for vector autoregressive models
• A Fast Estimation Method for the Vector Autoregressive Moving Average Model With Exogenous Variables
• 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

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