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arXiv · 1002.0152

Estimation error for blind Gaussian time series prediction

Thibault Espinasse·Fabrice Gamboa·Jean-Michel Loubes
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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.

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Thibault Espinasse, Fabrice Gamboa, Jean-Michel Loubes. 2011-07-05. Estimation error for blind Gaussian time series prediction. https://arxiv.org/abs/1002.0152

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