Best linear predictor of a C[0,1]-valued functional autoregressive process

Meryem Kada Kloucha and Tahar Mourid

Statistics & Probability Letters, 2019, vol. 150, issue C, 114-120

Abstract: We establish exponential bounds and the a.s. convergence of the best linear predictor BLP of a C[0,1]-valued autoregressive process. Simulation studies on real series illustrate the performance of the BLP and show competitive results.

Keywords: Functional autoregressive processes; Best linear predictor; Measurable linear transformations; Covariance operator; Estimation (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:150:y:2019:i:c:p:114-120

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DOI: 10.1016/j.spl.2019.03.003

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