Plug-in prediction intervals for a special class of standard ARH(1) processes

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• 作者：M.D. Ruiz-Medina^a ; ^{mruiz@ugr.es" class="auth_mail" title="E-mail the corresponding author} ; E. Romano^b ; R. Ferná ; ndez-Pascual^c ; ^{rpascual@ugr.es" class="auth_mail" title="E-mail the corresponding author}
• 关键词：60G07 ; 60G60 ; 62M10 ; 62M20
• 刊名：Journal of Multivariate Analysis
• 出版年：2016
• 出版时间：April 2016
• 年：2016
• 卷：146
• 期：Complete
• 页码：138-150
• 全文大小：496 K

文摘

This paper studies the asymptotic properties of a plug-in predictor, based on the formulation of a componentwise estimator of the autocorrelation operator, for a special class of standard autoregressive Hilbertian processes of order one (ARH(1) processes). In the Gaussian case, double asymptotic functional plug-in prediction intervals are derived. Some numerical examples are considered for illustration.