Sieves estimator of the operator of a functional autoregressive process
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Publication:2489794
DOI10.1016/j.spl.2005.07.011zbMath1085.62104OpenAlexW2053376852MaRDI QIDQ2489794
Publication date: 28 April 2006
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2005.07.011
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Banach spaces of continuous, differentiable or analytic functions (46E15) Applications of operator theory in probability theory and statistics (47N30)
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Sieves estimator of functional autoregressive process ⋮ Exponential bounds and convergence rates of sieve estimators for functional autoregressive processes ⋮ Functional maximum-likelihood estimation of ARH(\(p\)) models ⋮ Varying coefficient functional autoregressive model with application to the U.S. treasuries ⋮ Modeling seasonality and serial dependence of electricity price curves with warping functional autoregressive dynamics ⋮ Forecasting limit order book liquidity supply–demand curves with functional autoregressive dynamics ⋮ Resolvent estimators for functional autoregressive processes with random coefficients
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- On the equivalence of the measures induced by banach valued gaussian autoregressive processes
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