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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Klepsch, J., Klüppelberg, C., and Wei, T. 
Titel:
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...    »
 
Stichworte:
FPCA, functional ARMA process, functional principal component analysis,FTSA, functional time series analysis, prediction, projection, traffic data 
Zeitschriftentitel:
Econometrics and Statistics 
Jahr:
2017 
Band / Volume:
Jahr / Monat:
2017-01 
Quartal:
1. Quartal 
Monat:
Jan 
Seitenangaben Beitrag:
128–149 
Reviewed:
ja 
Sprache:
en 
Verlag / Institution:
Elsevier 
Status:
Verlagsversion / published 
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik