Estimation error for blind Gaussian time series prediction
Thibault Espinasse, Fabrice Gamboa, Jean–Michel Loubes · Mathematical Methods of Statistics · 2011
We tackle the issue of the blind prediction of a Gaussian time series. For this, we construct a projection operator built by plugging an empirical covariance estimator 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.