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Document type:
Zeitschriftenaufsatz 
Author(s):
Sen, R. and Klüppelberg, C. 
Title:
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...    »
 
Keywords:
Functional Principal Component, Vector ARMA, Yield Curve, Electricity Spot Price, Functional Regression, Forecast 
Journal title:
Technical report 
Year:
2010 
Language:
en 
Status:
Preprint / submitted 
TUM Institution:
Lehrstuhl für Mathematische Statistik 
Format:
Text