Computing the best linear predictor in a Hilbert space. Applications to general ARMAH processes

JOURNAL OF MULTIVARIATE ANALYSIS

卷:124

Article

Bosq, D.

关键词: Functional filters;    Hilbert spaces;    Linear processes;    Measurable linear transformations;    Prediction;    Large dimensions;   

DOI  :  10.1016/j.jmva.2013.11.013

来源: Elsevier

【 摘 要 】

This article deals with linear prediction in large dimensions. One obtains various explicit forms of the best linear predictor in a Hilbert space. The difficulty comes from the fact that the associated linear operator is, in general, not continuous. Applications to ARMAH processes, models with noise and Bayesian estimators are considered. (C) 2013 Elsevier Inc. All rights reserved.

【 授权许可】

Free