Estimation error for blind Gaussian time series prediction

DOI10.3103/S1066530711030033zbMath1226.62086arXiv1002.0152MaRDI QIDQ647755

Thibault Espinasse, Fabrice Gamboa, Jean-Michel Loubes

Publication date: 24 November 2011

Published in: Mathematical Methods of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1002.0152

zbMATH Keywords

covariance estimationasymptotic statistics

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05)

Related Items (1)

A kriging procedure for processes indexed by graphs

Uses Software

• itsmr

Cites Work

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• Bandwidth selection for functional time series prediction
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• Regularized estimation of large covariance matrices
• A Functional Wavelet–Kernel Approach for Time Series Prediction
• Introduction to Time Series and Forecasting
• Influence of Missing Values on the Prediction of a Stationary Time Series
• Some asymptotic properties of kriging when the covariance function is misspecified
• Adaptive estimation of the spectrum of a stationary Gaussian sequence

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