Kernel estimates of nonparametric functional autoregression models and their bootstrap approximation

Abstract

This paper considers a nonparametric functional autoregression model of order one. Existing contributions addressing the problem of functional time series prediction have focused on the linear model and literatures are rather lacking in the context of nonlinear functional time series. In our nonparametric setting, we define the functional version of kernel estimator for the autoregressive operator and develop its asymptotic theory under the assumption of a strong mixing condition on the sample. The results are general in the sense that high-order autoregression can be naturally written as a first-order AR model. In addition, a component-wise bootstrap procedure is proposed that can be used for estimating the distribution of the kernel estimation and its asymptotic validity is theoretically justified. The bootstrap procedure is implemented to construct prediction regions that achieve good coverage rate. A supporting simulation study is presented in the end to illustrate the theoretical advances in the paper.