Autoregressive Hilbertian Processes of Order 1

  • Denis Bosq
Part of the Lecture Notes in Statistics book series (LNS, volume 149)


In this chapter we particularize the representation of a continuous-time process as a sequence of B-random variables (recall Figure 1). Actually, we consider the case where B is a Hilbert space and the induced discrete time process is a linear Markov sequence. This leads to define the autoregressive Hilbertian process of order 1, denoted ARH(1), a flexible model that is used in practice to model and predict continuous-time random experiments (see Chapter 9).


Hilbert Space White Noise Limit Theorem Markov Process Innovation Process 
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Copyright information

© Springer Science+Business Media New York 2000

Authors and Affiliations

  • Denis Bosq
    • 1
  1. 1.Institut de StatistiqueUniversité Pierre et Marie CurieParis Cedex 05France

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