Covariance operator estimation of a functional autoregressive process with random coefficients

We deal with the covariance and cross covariance operators estimation of a Hilbert space valued autoregressive process with random coefficients. We establish bounds for empirical estimators in mean square error and almost sure convergence in Hilbert–Schmidt norm. Consistent estimators of the eigenvalues are also derived.

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Year of publication:	2014
Authors:	Allam, Abdelaziz ; Mourid, Tahar
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 84.2014, C, p. 1-8
Publisher:	Elsevier
Subject:	Functional autoregressive process with random coefficients \| Covariance operator \| Eigenvalues and eigenvectors \| Hilbert–Schmidt norm

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010718816