Représentation autorégressive de l'opérateur de covariance empirique d'un ARH(1). Applications

DOI10.1016/S0764-4442(00)80056-7MaRDI QIDQ4719780zbMATH OpenFDO

Authors Denis Bosq

Publication date 17 February 2000

Published in Comptes Rendus de l'Académie des Sciences - Series I - Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0764-4442(00)80056-7

zbMATH Keywords

autoregressive processcovariance operatorempirical meanHilbert-Schmidt operatorsseparable Hilbert space

Mathematics Subject Classification ID

Applications of functional analysis in probability theory and statistics (46N30) Limit theorems for vector-valued random variables (infinite-dimensional case) (60B12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Normalité asymptotique de l'estimateur empirique de l'opérateur d'autocorrélation d'un processus ARH(1)
• Covariance operator estimation of a functional autoregressive process with random coefficients
• Estimation of mean and covariance operator of autoregressive processes in Banach spaces
• Rates of convergence of autocorrelation estimates for autoregressive Hilbertian processes
• Periodically correlated autoregressive Hilbertian processes

Cited in

(11)

• Estimation of mean and covariance operator of autoregressive processes in Banach spaces
• Maximum-likelihood asymptotic inference for autoregressive Hilbertian processes
• Covariance operator estimation of a functional autoregressive process with random coefficients
• Estimation of mean and covariance operator for Banach space valued autoregressive processes with dependent innovations
• Inference on the asymptotic behavior of covariance operator of first-order periodically correlated autoregressive Hilbertian processes
• Estimation for the invariant law of an ergodic diffusion process based on high-frequency data
• scientific article; zbMATH DE number 4119450 (Why is no real title available?)
• scientific article; zbMATH DE number 1398562 (Why is no real title available?)
• Normalité asymptotique de l'estimateur empirique de l'opérateur d'autocorrélation d'un processus ARH(1)
• Representation of I(1) and I(2) autoregressive Hilbertian processes
• Tensorial products of functional ARMA processes

This page was built for publication: Représentation autorégressive de l'opérateur de covariance empirique d'un ARH(1). Applications

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4719780)