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Document type:
Zeitschriftenaufsatz 
Author(s):
Klepsch, J., Klüppelberg, C., and Wei, T. 
Title:
Prediction of functional ARMA processes with an application to traffic data 
Abstract:
We study the functional ARMA(p, q) and a corresponding approximating vector model, based on functional PCA. We investigate the structure of the multivariate vector process and derive conditions for the existence of a stationary solution to both the functional and the vector model equation. We then use the stationary vector process to predict the functional process, and compare the resulting predictor to the functional best linear predictor proposed. We derive bounds for the error due to dimensio...    »
 
Keywords:
FPCA, functional ARMA process, functional principal component analysis,FTSA, functional time series analysis, prediction, projection, traffic data 
Journal title:
Econometrics and Statistics 
Year:
2017 
Journal volume:
Year / month:
2017-01 
Quarter:
1. Quartal 
Month:
Jan 
Pages contribution:
128–149 
Reviewed:
ja 
Language:
en 
Publisher:
Elsevier 
Status:
Verlagsversion / published 
TUM Institution:
Lehrstuhl für Mathematische Statistik