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Optimal rate for covariance operator estimators of functional autoregressive processes with random coefficients

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  • Allam, Abdelaziz
  • Mourid, Tahar

Abstract

We improve a result of Allam and Mourid (2014) by deriving the optimal n rate for the empirical covariance operators of a Hilbert-valued autoregressive process with random coefficients. Our approach is based on a suitable autoregressive representation of a sequence of covariance operators related to the model, which leads to a decomposition with Hilbert-valued martingale differences. Using large deviation inequalities for Hilbert-valued martingale differences, we then establish exponential bounds and derive the almost sure convergence of the empirical covariance operators in the Hilbert–Schmidt norm, achieving the parametric rate n up to a ln(n) factor in the bounded process case.

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  • Allam, Abdelaziz & Mourid, Tahar, 2019. "Optimal rate for covariance operator estimators of functional autoregressive processes with random coefficients," Journal of Multivariate Analysis, Elsevier, vol. 169(C), pages 130-137.
    • Handle: RePEc:eee:jmvana:v:169:y:2019:i:c:p:130-137
    DOI: 10.1016/j.jmva.2018.07.009
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    References listed on IDEAS

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    1. Davidson, James, 1994. "Stochastic Limit Theory: An Introduction for Econometricians," OUP Catalogue, Oxford University Press, number 9780198774037.
    2. Aldo Goia & Philippe Vieu, 2015. "A partitioned Single Functional Index Model," Computational Statistics, Springer, vol. 30(3), pages 673-692, September.
    3. Allam, Abdelaziz & Mourid, Tahar, 2014. "Covariance operator estimation of a functional autoregressive process with random coefficients," Statistics & Probability Letters, Elsevier, vol. 84(C), pages 1-8.
    4. Aneiros-Pérez, Germán & Vieu, Philippe, 2008. "Nonparametric time series prediction: A semi-functional partial linear modeling," Journal of Multivariate Analysis, Elsevier, vol. 99(5), pages 834-857, May.
    5. Lian, Heng & Li, Gaorong, 2014. "Series expansion for functional sufficient dimension reduction," Journal of Multivariate Analysis, Elsevier, vol. 124(C), pages 150-165.
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    Cited by:

    1. Aneiros, Germán & Horová, Ivana & Hušková, Marie & Vieu, Philippe, 2022. "On functional data analysis and related topics," Journal of Multivariate Analysis, Elsevier, vol. 189(C).
    2. Boukhiar, Souad & Mourid, Tahar, 2022. "Resolvent estimators for functional autoregressive processes with random coefficients," Journal of Multivariate Analysis, Elsevier, vol. 189(C).
    3. Aneiros, Germán & Cao, Ricardo & Fraiman, Ricardo & Genest, Christian & Vieu, Philippe, 2019. "Recent advances in functional data analysis and high-dimensional statistics," Journal of Multivariate Analysis, Elsevier, vol. 170(C), pages 3-9.

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