Asymptotic properties of a component-wise ARH(1) plug-in predictor

DOI10.1016/j.jmva.2016.11.009zbMath1397.62292arXiv1706.06498MaRDI QIDQ511989

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

Publication date: 23 February 2017

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1706.06498

zbMATH Keywords

consistency; functional prediction; ARH(1) processes; mean absolute and quadratic convergence

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

62G08: Nonparametric regression and quantile regression

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62G20: Asymptotic properties of nonparametric inference

Uses Software

• WaveThresh4
• fda (R)
• wavethresh