Plug-in prediction intervals for a special class of standard ARH(1) processes

M.D. Ruiz-Medina, E. Romano and R. Fernández-Pascual

Journal of Multivariate Analysis, 2016, vol. 146, issue C, 138-150

Abstract: This paper studies the asymptotic properties of a plug-in predictor, based on the formulation of a componentwise estimator of the autocorrelation operator, for a special class of standard autoregressive Hilbertian processes of order one (ARH(1) processes). In the Gaussian case, double asymptotic functional plug-in prediction intervals are derived. Some numerical examples are considered for illustration.

Keywords: Asymptotic results; Autocorrelation operator componentwise estimator; Autoregressive Hilbertian processes; Functional componentwise prediction intervals (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.jmva.2015.09.001

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