A note on strong-consistency of componentwise ARH(1) predictors
Statistics Theory
2017-09-18 v1 Functional Analysis
Methodology
Statistics Theory
Abstract
This paper presents a new result on strong-consistency, in the trace norm, of a diagonal componentwise parameter estimator of the autocorrelation operator of an autoregressive process of order one (ARH(1) process), allowing strong-consistency of the associated plug-in predictor. These results are derived, when the eigenvectors of the autocovariance operator are unknown, and the autocorrelation operator does not admit a diagonal spectral representation with respect to the eigenvectors of the autocovariance operator.
Cite
@article{arxiv.1709.04938,
title = {A note on strong-consistency of componentwise ARH(1) predictors},
author = {M. D. Ruiz-Medina and J. Álvarez-Liébana},
journal= {arXiv preprint arXiv:1709.04938},
year = {2017}
}
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12 pages, 0 figures