Linear Processes in Function Spaces Theory and Applications [Paperback]

The main subject of this book is the estimation and forecasting of continuous time processes. It leads to a development of the theory of linear processes in function spaces. Mathematical tools are presented, as well as autoregressive processes in Hilbert and Banach spaces and general linear processes and statistical prediction. Implementation and numerical applications are also covered. The book assumes knowledge of classical probability theory and statistics.

Synopsis.- 1. The object of study.- 2. Finite-dimensional linear processes.- 3. Random variables in function spaces.- 4. Limit theorems in function spaces.- 5. Autoregressive processes in Hilbert spaces.- 6. Estimation of covariance operators.- 7. Autoregressive processes in Banach spaces and representations of continuous-time processes.- 8. Linear processes in Hilbert spaces and Banach spaces.- 9. Estimation of autocorrelation operator and forecasting.- 10. Applications.- 1. Stochastic processes and random variables in function spaces.- 1.1. Stochastic processes.- 1.2. Random functions.- 1.3. Expectation and conditional expectation in Banach spaces.- 1.4. Covariance operators and characteristic functionals in Banach spaces.- 1.5. Random variables and operators in Hilbert spaces.- 1.6. Linear prediction in Hilbert spaces.- Notes.- 2. Sequences of random variables in Banach spaces.- 2.1. Stochastic processes as sequences of B-valued random variables.- 2.2. Convergence of B-random variables.- 2.3. Limit theorems for i.i.d. sequences of B-random variables.- 2.4. Sequences of dependent random variables in Banach spaces.- 2.5. * Derivation of exponential bounds.- Notes.- 3. Autoregressive Hilbertian processes of order one.- 3.1. Stationarity and innovation in Hilbert spaces.- 3.2. The ARH(1) model.- 3.3. Basic properties of ARH(1) processes.- 3.4. ARH(1) processes with symmetric compact autocorrelation operator.- 3.5. Limit theorems for ARH(1) processes.- Notes.- 4. Estimation of autocovariance oplCÚ