Estimation of Autocovariance Operators for ARH(1) Processes
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Estimation of second-order parameters of an ARH(1) has a twofold interest. Firstly, it gives information about inner structure of the process. Secondly, it leads to construction of statistical linear predictors.
KeywordsCovariance Operator Martingale Difference Natural Estimator Complete Orthonormal System Nuclear Operator
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