Nonparametric prediction of a Hilbert space valued random variable

D. Bosq and M. Delecroix

Stochastic Processes and their Applications, 1985, vol. 19, issue 2, 271-280

Abstract: Let , be a Markovian, measurable, strictly stationary process taking values in a measurable space (E, ), and g a mapping from E into a separable Hilbert space H. A statistical nonparametric predictor of g([xi]T+h) is studied in the paper. That predictor, based on the observations of the process between the times O and T generalizes the 'predictogram'; its asymptotic consistency is proved and some applications are given.

Keywords: Markov; processes; nonparametric; prediction; regression; estimators (search for similar items in EconPapers)
Date: 1985
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