Computing the best linear predictor in a Hilbert space. Applications to general ARMAH processes
DOI10.1016/J.JMVA.2013.11.013zbMath1278.62153OpenAlexW2086077409MaRDI QIDQ392108
Publication date: 13 January 2014
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2013.11.013
predictionHilbert spaceslinear processesmeasurable linear transformationsfunctional filterslarge dimensions
Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Applications of functional analysis in probability theory and statistics (46N30)
Related Items (8)
Cites Work
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- Curve forecasting by functional autoregression
- Kalman filtering from POP-based diagonalization of ARH(1)
- Linear estimators and measurable linear transformations on a Hilbert space
- Inference and Prediction in Large Dimensions
- The Generalized Dynamic Factor Model
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