Estimation error for blind Gaussian time series prediction

2010/01/31 by Thibault Espinasse, Fabrice Gamboa, Espinasse, Thibault +3
Mathematics · #FOS: Computer and information sciences #FOS: Mathematics #Methodology (stat.ME) #Statistics Theory (math.ST) #math.ST #stat.ME #stat.TH

paper · pdf · doi:10.48550/arxiv.1002.0152

arxiv created 2011/07/05 · arxiv updated 2011/07/06

Abstract

We tackle the issue of the blind prediction of a Gaussian time series. For this, we construct a projection operator build by plugging an empirical covariance estimation into a Schur complement decomposition of the projector. This operator is then used to compute the predictor. Rates of convergence of the estimates are given.

Related

• Short-term prediction of Time Series based on bounding techniques
• Prediction performance after learning in Gaussian process regression
• Compressive Estimation of a Stochastic Process with Unknown Autocorrelation Function
• Generic Variance Bounds on Estimation and Prediction Errors in Time Series Analysis: An Entropy Perspective
• Convergence Rates for Realizations of Gaussian Random Variables