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Asymptotic properties of functional maximum-likelihood ARH parameter estimators

Abstract : In this paper, the asymptotic distribution of the maximum likelihood functional estimators of the operators involved in the formulation of gaussian ARH(1) models is studied in the case of imcomplete functional data (see Ruiz-Medina and Salmerón, 2009, Ruiz-Medina, Salmerón and Angulo, 2007, and Salmerón and Ruiz-Medina, 2009). Specifically, an extension to the functional context of the Titterington (1983, 1984) results is derived by applying a Robbins-Monro-type invariance procedure. The asymptotic properties of the functional predictors computed by applying Kalman filtering are then obtained from a functional version of Bosq (2008) results.
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https://hal.inria.fr/inria-00386676
Contributor : Conférence Jds2009 <>
Submitted on : Friday, May 22, 2009 - 9:12:17 AM
Last modification on : Friday, May 22, 2009 - 9:12:17 AM

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  • HAL Id : inria-00386676, version 1

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Maria Dolores Ruiz-Medina. Asymptotic properties of functional maximum-likelihood ARH parameter estimators. 41èmes Journées de Statistique, SFdS, Bordeaux, 2009, Bordeaux, France, France. ⟨inria-00386676⟩

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