Nonparametric prediction of a Hilbert space valued random variable

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.

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Year of publication:	1985
Authors:	Bosq, D. ; Delecroix, M.
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 19.1985, 2, p. 271-280
Publisher:	Elsevier
Keywords:	Markov processes nonparametric prediction regression estimators

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

Persistent link: https://www.econbiz.de/10008873160