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