Estimation error for blind Gaussian time series prediction

Thibault Espinasse (1) , Fabrice Gamboa (1) , Jean-Michel Loubes (1)

1 IMT - Institut de Mathématiques de Toulouse UMR5219

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.

Mots clés: Asymptotic Statistics; Covariance Estimation; Time Series

Domaines: Méthodologie [stat.ME]; Statistiques [math.ST]; Théorie [stat.TH]

Thibault Espinasse, Fabrice Gamboa, Jean-Michel Loubes. Estimation error for blind Gaussian time series prediction. 2011. ⟨hal-00451645v2⟩