Prediction theory for stationary functional time series

DOI10.1214/20-PS360zbMath1490.60090arXiv2011.09937OpenAlexW3098457058MaRDI QIDQ2135727

Nicholas H. Bingham

Publication date: 9 May 2022

Published in: Probability Surveys (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2011.09937

zbMATH Keywords

kernel methodsKolmogorov isomorphism theoremfunctional time seriesKarhunen-Loève expansionVerblunsky coefficientsfunctional principal componentsSzegő's theoremBeurling-Lax-Halmos theoremCramér representationSzegő alternative

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Research exposition (monographs, survey articles) pertaining to statistics (62-02) Prediction theory (aspects of stochastic processes) (60G25) Research exposition (monographs, survey articles) pertaining to probability theory (60-02)

Uses Software

• fda (R)
• ftsa

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