scientific article; zbMATH DE number 17221
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[For the entire collection see Zbl 0722.00032.] From the author's abstract: In order to predict a continuous-time process on an entire time-interval, a Hilbert-space-valued autoregressive process \(X_ t\), \(t=0,\pm1,\pm2,\dots\) is studied, presenting consistent nonparametric estimators for the covariance operator \(C\) of \(X_ t\) and the cross estimator covariance of \((X_ t,X_{t+1})\). Then an estimator \(\rho_ n\) of the autocorrelation operator is constructed by projecting the data on a finite dimensional subspace generated by the eigenvectors of \(C\). Under mild regularity conditions it is shown that the predictor based upon \(\rho_ n\) converges in probability. Assuming an additional mixing condition for \((X_ t)\), almost sure convergence is obtained.
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