估计卡特积希尔伯特空间中 Lp-m 近似过程的滞后(交叉)协方差算子

IF 1.2 4区 数学 Q3 MATHEMATICS, INTERDISCIPLINARY APPLICATIONS Journal of Time Series Analysis Pub Date : 2024-08-30 DOI:10.1111/jtsa.12772
Sebastian Kühnert
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引用次数: 0

摘要

估计函数 ARMA、GARCH 和可逆过程的参数需要估计笛卡尔积希尔伯特空间值过程的滞后协方差和交叉协方差算子。近年来,人们已经推导出了渐近结果,但这些结果要么不那么普遍,要么是在严格的条件下得出的。本文基于温和条件推导出了此类算子的估计误差上限--每个滞后、笛卡尔幂和样本大小的近似性,在滞后交叉协方差算子的背景下,两个过程可以在不同空间取值。此外,还讨论了我们的结果对函数式 AR(MA)模型中特征元素和参数的影响。
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Estimating lagged (cross‐)covariance operators of Lp‐m‐approximable processes in cartesian product hilbert spaces
Estimating parameters of functional ARMA, GARCH and invertible processes requires estimating lagged covariance and cross‐covariance operators of Cartesian product Hilbert space‐valued processes. Asymptotic results have been derived in recent years, either less generally or under a strict condition. This article derives upper bounds of the estimation errors for such operators based on the mild condition ‐‐approximability for each lag, Cartesian power(s) and sample size, where the two processes can take values in different spaces in the context of lagged cross‐covariance operators. Implications of our results on eigen elements and parameters in functional AR(MA) models are also discussed.
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来源期刊
Journal of Time Series Analysis
Journal of Time Series Analysis 数学-数学跨学科应用
CiteScore
2.00
自引率
0.00%
发文量
39
审稿时长
6-12 weeks
期刊介绍: During the last 30 years Time Series Analysis has become one of the most important and widely used branches of Mathematical Statistics. Its fields of application range from neurophysiology to astrophysics and it covers such well-known areas as economic forecasting, study of biological data, control systems, signal processing and communications and vibrations engineering. The Journal of Time Series Analysis started in 1980, has since become the leading journal in its field, publishing papers on both fundamental theory and applications, as well as review papers dealing with recent advances in major areas of the subject and short communications on theoretical developments. The editorial board consists of many of the world''s leading experts in Time Series Analysis.
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