Zobrazeno 1 - 10
of 200
pro vyhledávání: '"Liébana J"'
High-frequency financial data can be collected as a sequence of curves over time; for example, as intra-day price, currently one of the topics of greatest interest in finance. The Functional Data Analysis framework provides a suitable tool to extract
Externí odkaz:
http://arxiv.org/abs/2206.12821
Publikováno v:
In Computational Statistics and Data Analysis March 2025 203
Publikováno v:
Statistics & Probability Letters, 2018
New results on strong-consistency, in the Hilbert-Schmidt and trace operator norms, are obtained, in the parameter estimation of an autoregressive Hilbertian process of order one (ARH(1) process). In particular, a strongly-consistent diagonal compone
Externí odkaz:
http://arxiv.org/abs/1808.04872
Autor:
Ruiz-Medina, MD, Alvarez-Liebana, J.
This work derives new results on strong consistent estimation and prediction for autoregressive processes of order 1 in a separable Banach space B. The consistency results are obtained for the component-wise estimator of the autocorrelation operator
Externí odkaz:
http://arxiv.org/abs/1808.01659
Publikováno v:
Journal of Multivariate Analysis, 2018
This work derives new results on strong consistent estimation and prediction for autoregressive processes of order 1 in a separable Banach space B. The consistency results are obtained for the componentwise estimator of the autocorrelation operator i
Externí odkaz:
http://arxiv.org/abs/1801.08817
This paper presents a new result on strong-consistency, in the trace norm, of a diagonal componentwise parameter estimator of the autocorrelation operator of an autoregressive process of order one (ARH(1) process), allowing strong-consistency of the
Externí odkaz:
http://arxiv.org/abs/1709.04938
Publikováno v:
Statistics and Its Interface, 10, pp. 607-628 (2017)
Functional Analysis of Variance (FANOVA) from Hilbert-valued correlated data with spatial rectangular or circular supports is analyzed, when Dirichlet conditions are assumed on the boundary. Specifically, a Hilbert-valued fixed effect model with erro
Externí odkaz:
http://arxiv.org/abs/1706.06976
Autor:
Álvarez-Liébana, J.
This paper reviews the main estimation and prediction results derived in the context of functional time series, when Hilbert and Banach spaces are considered, specially, in the context of autoregressive processes of order one (ARH(1) and ARB(1) proce
Externí odkaz:
http://arxiv.org/abs/1706.06288
Publikováno v:
Statistics & Probability Letters, 117, pp. 12-22 (2016)
New results on functional prediction of the Ornstein-Uhlenbeck process in an autoregressive Hilbert-valued and Banach-valued frameworks are derived. Specifically, consistency of the maximum likelihood estimator of the autocorrelation operator, and of
Externí odkaz:
http://arxiv.org/abs/1706.06354
Publikováno v:
Journal of Multivariate Analysis, 155, pp. 12-34 (2017)
This paper presents new results on prediction of linear processes in function spaces. The autoregressive Hilbertian process framework of order one (ARH(1) process framework) is adopted. A componentwise estimator of the autocorrelation operator is for
Externí odkaz:
http://arxiv.org/abs/1706.06498