Estimation error for blind Gaussian time series prediction

Details Estimation error for blind Gaussian time series prediction Estimation error for blind Gaussian time series prediction

2010-01-31

arxiv.org/abs/1002.0152v2

Statistics

Methodology

Scientific paper

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.

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