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Plug-in prediction intervals for a special class of standard ARH(1) processes

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  • Ruiz-Medina, M.D.
  • Romano, E.
  • Fernández-Pascual, R.

Abstract

This paper studies the asymptotic properties of a plug-in predictor, based on the formulation of a componentwise estimator of the autocorrelation operator, for a special class of standard autoregressive Hilbertian processes of order one (ARH(1) processes). In the Gaussian case, double asymptotic functional plug-in prediction intervals are derived. Some numerical examples are considered for illustration.

Suggested Citation

  • Ruiz-Medina, M.D. & Romano, E. & Fernández-Pascual, R., 2016. "Plug-in prediction intervals for a special class of standard ARH(1) processes," Journal of Multivariate Analysis, Elsevier, vol. 146(C), pages 138-150.
    • Handle: RePEc:eee:jmvana:v:146:y:2016:i:c:p:138-150
    DOI: 10.1016/j.jmva.2015.09.001
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    References listed on IDEAS

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    Cited by:

    1. Cerovecki, Clément & Hörmann, Siegfried, 2017. "On the CLT for discrete Fourier transforms of functional time series," Journal of Multivariate Analysis, Elsevier, vol. 154(C), pages 282-295.

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