Best linear predictor of a C[0,1]-valued functional autoregressive process

Publication date: Available online 14 March 2019Source: Statistics & Probability LettersAuthor(s): Meryem Kada Kloucha, Tahar MouridAbstractWe establish exponential bounds and the a.s. convergence of the best linear predictor BLP of a C[0,1]-valued autoregressive process. Simulation studies on real series illustrate the performance of the BLP and show competitive results.

Source: Statistics and Probability Letters - March 15, 2019 Category: Statistics Source Type: research