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arXiv · 1706.06354

Consistency of the plug-in functional predictor of the Ornstein-Uhlenbeck process in Hilbert and Banach spaces

J. Álvarez-Liébana·D. Bosq·M. D. Ruiz-Medina
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Abstract

New results on functional prediction of the Ornstein-Uhlenbeck process in an autoregressive Hilbert-valued and Banach-valued frameworks are derived. Specifically, consistency of the maximum likelihood estimator of the autocorrelation operator, and of the associated plug-in predictor is obtained in both frameworks.

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J. Álvarez-Liébana, D. Bosq, M. D. Ruiz-Medina. 2018-09-04. Consistency of the plug-in functional predictor of the Ornstein-Uhlenbeck process in Hilbert and Banach spaces. https://doi.org/10.1016/j.spl.2016.04.023

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