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2022 Prediction theory for stationary functional time series
N. H. Bingham
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Probab. Surveys 19: 160-184 (2022). DOI: 10.1214/20-PS360

Abstract

We survey aspects of prediction theory in infinitely many dimensions, with a view to the theory and applications of functional time series.

Acknowledgment

We thank the referee, whose constructive report led to many improvements.

Citation

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N. H. Bingham. "Prediction theory for stationary functional time series." Probab. Surveys 19 160 - 184, 2022. https://doi.org/10.1214/20-PS360

Information

Received: 1 December 2020; Published: 2022
First available in Project Euclid: 6 April 2022

Digital Object Identifier: 10.1214/20-PS360

Subjects:
Primary: 60-02
Secondary: 62-02

Keywords: Beurling-Lax-Halmos theorem , Cramér representation , functional principal components , functional time series , Karhunen-Loève expansion , kernel methods , Kolmogorov isomorphism theorem , Szegő alternative , Szegő’s theorem , Verblunsky coefficients

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Vol.19 • 2022
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