Covariance operator estimation of a functional autoregressive process with random coefficients

Abdelaziz Allam and Tahar Mourid

Statistics & Probability Letters, 2014, vol. 84, issue C, 1-8

Abstract: We deal with the covariance and cross covariance operators estimation of a Hilbert space valued autoregressive process with random coefficients. We establish bounds for empirical estimators in mean square error and almost sure convergence in Hilbert–Schmidt norm. Consistent estimators of the eigenvalues are also derived.

Keywords: Functional autoregressive process with random coefficients; Covariance operator; Eigenvalues and eigenvectors; Hilbert–Schmidt norm (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1016/j.spl.2013.09.018

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