Prediction of Continuous Time Processes by C[0,1]‐Valued Autoregressive Process

被引：0
|
作者：
Besnik Pumo
机构：
[1] I.N.H.,
来源：
Statistical Inference for Stochastic Processes | 1998年 / 1卷 / 3期
关键词：
autoregressive process; continuous times process; prediction;
D O I：
10.1023/A:1009951104780
中图分类号：
学科分类号：
摘要：
In order to predict a continuous time process on an entire‐time interval, we introduce the C[0,1]‐valued autoregressive process of first order. We show, under mild regularity conditions the convergence almost sure of the predictor. We propose an estimator of the dimension of the projecting space of observations and illustrate the results by a numerical example.
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页码：297 / 309
页数：12
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