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Rates of convergence of autocorrelation estimates for autoregressive Hilbertian processes

Guillas, S; (2001) Rates of convergence of autocorrelation estimates for autoregressive Hilbertian processes. STAT PROBABIL LETT , 55 (3) 281 - 291.

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Abstract

We show consistency in the mean integrated quadratic sense of an estimator of the autocorrelation operator rho in the autoregressive Hilbertian of order one model. Two main cases are considered, and we obtain upper bounds for the corresponding rates. (C) 2001 Elsevier Science B.V. Ail rights reserved.

Type: Article
Title: Rates of convergence of autocorrelation estimates for autoregressive Hilbertian processes
Keywords: Hilbert space, autoregressive processes, estimation, rate of convergence, functional data
UCL classification: UCL > School of BEAMS > Faculty of Maths and Physical Sciences > Statistical Science
URI: http://discovery.ucl.ac.uk/id/eprint/80858
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