SDE

Consistency of the plug-in functional predictor of the Ornstein–Uhlenbeck process in Hilbert and Banach spaces

New results on functional prediction of the Ornstein–Uhlenbeck process in an autoregressive Hilbert-valued and Banach-valued frameworks are derived. Specifically, consistency of the maximum likelihood estimator of the autocorrelation operator, and of the associated plug-in predictor is obtained in both frameworks.