Consistency of the plug-in functional predictor of the Ornstein–Uhlenbeck process in Hilbert and Banach spaces
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2016
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Elsevier
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Álvarez-Liébana, J.; Bosq, D.; Ruiz-Medina, M. D. Consistency of the plug-in functional predictor of the Ornstein–Uhlenbeck process in Hilbert and Banach spaces. Statistics & Probability Letters 2016, 117, 12–22. doi:10.1016/j.spl.2016.04.023.
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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