Estimation in Functional Lagged Regression

The paper introduces a functional time series (lagged) regression model. The impulse‐response coefficients in such a model are operators acting on a separable Hilbert space, which is the function space L 2 in applications. A spectral approach to the estimation of these coefficients is proposed and asymptotically justified under a general nonparametric condition on the temporal dependence of the input series. Since the data are...