English

Estimating invertible processes in Hilbert spaces, with applications to functional ARMA processes

Statistics Theory 2025-07-31 v3 Statistics Theory

Abstract

Invertible processes are central to functional time series analysis, making the estimation of their defining operators a key problem. While asymptotic error bounds have been established for specific ARMA models on L2[0,1]L^2[0,1], a general theoretical framework has not yet been considered. This paper fills in this gap by deriving consistent estimators for the operators characterizing the invertible representation of a functional time series with white noise innovations in a general separable Hilbert space. Under mild conditions covering a broad class of functional time series, we establish explicit asymptotic error bounds, with rates determined by operator smoothness and eigenvalue decay. These results further provide consistency-rate estimates for operators in Hilbert space-valued causal linear processes, including functional MA, AR, and ARMA models of arbitrary order.

Keywords

Cite

@article{arxiv.2407.12221,
  title  = {Estimating invertible processes in Hilbert spaces, with applications to functional ARMA processes},
  author = {Sebastian Kühnert and Gregory Rice and Alexander Aue},
  journal= {arXiv preprint arXiv:2407.12221},
  year   = {2025}
}

Comments

25 pages

R2 v1 2026-06-28T17:43:53.897Z