Optimal rate for covariance operator estimators of functional autoregressive processes with random coefficients

DOI10.1016/j.jmva.2018.07.009zbMath1411.62135OpenAlexW2883420083WikidataQ129465834 ScholiaQ129465834MaRDI QIDQ1755118

Abdelaziz Allam, Tahar Mourid

Publication date: 4 January 2019

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

Full work available at URL: https://doi.org/10.1016/j.jmva.2018.07.009

zbMATH Keywords

Hilbert spacewhite noisestationary solutioncovariance operatorautoregressive processHilbert-Schmidt normmartingale differencerandom coefficientcross-covariance operatorparametric rate of convergence

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Measures of association (correlation, canonical correlation, etc.) (62H20)

Related Items

Estimation in nonlinear random fields models of autoregressive type with random parameters, Recent advances in functional data analysis and high-dimensional statistics, On functional data analysis and related topics, Resolvent estimators for functional autoregressive processes with random coefficients, Lagged covariance and cross-covariance operators of processes in Cartesian products of abstract Hilbert spaces

Uses Software

• fda (R)

Cites Work

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