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Some laws of the iterated logarithm in Hilbertian autoregressive models

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  • Menneteau, Ludovic

Abstract

We consider the law of the iterated logarithm for the empirical covariance of Hilbertian autoregressive processes. As an application, we obtain laws of the iterated logarithm for the eigenvalues and associated projectors of the empirical covariance.

Suggested Citation

  • Menneteau, Ludovic, 2005. "Some laws of the iterated logarithm in Hilbertian autoregressive models," Journal of Multivariate Analysis, Elsevier, vol. 92(2), pages 405-425, February.
    • Handle: RePEc:eee:jmvana:v:92:y:2005:i:2:p:405-425
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    References listed on IDEAS

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    1. Denis Bosq, 2002. "Estimation of Mean and Covariance Operator of Autoregressive Processes in Banach Spaces," Statistical Inference for Stochastic Processes, Springer, vol. 5(3), pages 287-306, October.
    2. Philippe C. Besse & Herve Cardot & David B. Stephenson, 2000. "Autoregressive Forecasting of Some Functional Climatic Variations," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 27(4), pages 673-687, December.
    3. Mas, André & Menneteau, Ludovic, 2003. "Large and moderate deviations for infinite-dimensional autoregressive processes," Journal of Multivariate Analysis, Elsevier, vol. 87(2), pages 241-260, November.
    4. Ruymgaart, Frits H. & Yang, Song, 1997. "Some Applications of Watson's Perturbation Approach to Random Matrices," Journal of Multivariate Analysis, Elsevier, vol. 60(1), pages 48-60, January.
    5. Yurinskii, V. V., 1976. "Exponential inequalities for sums of random vectors," Journal of Multivariate Analysis, Elsevier, vol. 6(4), pages 473-499, December.
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    Cited by:

    1. Álvarez-Liébana, J. & Bosq, D. & Ruiz-Medina, M.D., 2017. "Asymptotic properties of a component-wise ARH(1) plug-in predictor," Journal of Multivariate Analysis, Elsevier, vol. 155(C), pages 12-34.
    2. Yu, Miao & Si, Shen, 2009. "Moderate deviation principle for autoregressive processes," Journal of Multivariate Analysis, Elsevier, vol. 100(9), pages 1952-1961, October.
    3. Álvarez-Liébana, Javier & Bosq, Denis & Ruiz-Medina, María D., 2016. "Consistency of the plug-in functional predictor of the Ornstein–Uhlenbeck process in Hilbert and Banach spaces," Statistics & Probability Letters, Elsevier, vol. 117(C), pages 12-22.
    4. Yu Miao & Yanling Wang & Guangyu Yang, 2015. "Moderate Deviation Principles for Empirical Covariance in the Neighbourhood of the Unit Root," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 42(1), pages 234-255, March.
    5. Mas, André, 2007. "Weak convergence in the functional autoregressive model," Journal of Multivariate Analysis, Elsevier, vol. 98(6), pages 1231-1261, July.

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