Consistency of the plug-in functional predictor of the Ornstein–Uhlenbeck process in Hilbert and Banach spaces

Javier Álvarez-Liébana, Denis Bosq and María D. Ruiz-Medina

Statistics & Probability Letters, 2016, vol. 117, issue C, 12-22

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.

Keywords: Autoregressive Hilbertian processes; Banach-valued autoregressive processes; Consistency; Maximum likelihood parameter estimator; Ornstein–Uhlenbeck process (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.spl.2016.04.023

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