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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Sen, R. and Klüppelberg, C. 
Titel:
Time series of functional data 
Abstract:
We develop time series analysis of functional data observed discretely, treating the whole curve as a random realization from a distribution on functions that evolve over time. The method consists of principal components analysis of functional data and subsequently modeling the principal component scores as vector ARMA processes. We carry out the estimation of VARMA parameters using the equivalent state space representation. We derive asymptotic properties of the estimators and the fits. We appl...    »
 
Stichworte:
Functional Principal Component, Vector ARMA, Yield Curve, Electricity Spot Price, Functional Regression, Forecast 
Zeitschriftentitel:
Technical report 
Jahr:
2010 
Sprache:
en 
Status:
Preprint / submitted 
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik 
Format:
Text