Materiales
Abstract
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.
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Cita BibTeX
@article{AlvarezLiebanaetal16,
author = {J. Álvarez-Liébana and D. Bosq and M. D. Ruiz-Medina},
title = {Consistency of the plug-in functional predictor of the Ornstein–Uhlenbeck process in Hilbert and Banach spaces},
journal = {Stat. Prob. Letters},
volume = {117},
pages = {12-22},
keywords = {Autoregressive Hilbertian processes, Banach-valued autoregressive processes, consistency, maximum likelihood parameter estimator, ornstein–Uhlenbeck process},
url = {https://www.sciencedirect.com/science/article/abs/pii/S016771521630044X},
year = {2016}
}