Sieves estimator of functional autoregressive process

Kamila Berhoune and Nawel Bensmain

Statistics & Probability Letters, 2018, vol. 135, issue C, 60-69

Abstract: We provide a general theory for the sieves estimation of the Hilbert autoregressive process operator presented by Mourid and Bensmain. The existence, explicit form and consistency of the estimate are established. Simulation studies and real-life series illustrate its performance.

Keywords: Functional autoregressive process; Sieves estimation; Sieves predictor; Simulations; “El Niño” series (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spl.2017.11.008

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