Consistency of the plug-in functional predictor of the Ornstein-Uhlenbeck process in Hilbert and Banach spaces

Autor:	Álvarez-Liébana, J., Bosq, D., Ruiz-Medina, M. D.
Rok vydání:	2017
Předmět:	Mathematics - Statistics Theory Mathematics - Functional Analysis Statistics - Applications Statistics - Other Statistics 60G10 60G15 60F99 60J05 65F15
Zdroj:	Statistics & Probability Letters, 117, pp. 12-22 (2016)
Druh dokumentu:	Working Paper
DOI:	10.1016/j.spl.2016.04.023
Popis:	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 the associated plug-in predictor is obtained in both frameworks. Comment: 30 pages with 10 figures. Supplementary material (8 pages) is also included
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1706.06354 Zobrazit plný text záznamu View this record from Arxiv