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

DOI10.1016/j.spl.2016.04.023zbMath1346.60029arXiv1706.06354MaRDI QIDQ310616

Javier Álvarez-Liébana, Denis Bosq, María D. Ruiz-Medina

Publication date: 8 September 2016

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

Full work available at URL: https://arxiv.org/abs/1706.06354

zbMATH Keywords

consistency; Ornstein-Uhlenbeck process; autoregressive Hilbertian processes; Banach-valued autoregressive processes; maximum likelihood parameter estimator; plug-in functional predictor

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62M20: Inference from stochastic processes and prediction

60G15: Gaussian processes

60G10: Stationary stochastic processes

60J05: Discrete-time Markov processes on general state spaces

60F15: Strong limit theorems

60J60: Diffusion processes

60F99: Limit theorems in probability theory

Uses Software

• fda (R)