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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Klepsch, J. and Klüppelberg, C. 
Titel:
An Innovations Algorithm for the prediction of functional linear processes 
Abstract:
When observations are curves over some natural time interval, the field of functional data analysis comes into play. Functional linear processes account for temporal dependence in the data. The prediction problem for functional linear processes has been solved theoretically, but the focus for applications has been on functional autoregressive processes. We propose a new computationally tractable linear predictor for functional linear processes. It is based on an application of the Multivariate I...    »
 
Stichworte:
functional linear process, functional principal components, functional time series, Hilbert space valued process, Innovations Algorithm, prediction, prediction error 
Dewey Dezimalklassifikation:
510 Mathematik 
Zeitschriftentitel:
Journal of Multivariate Analysis 
Jahr:
2017 
Band / Volume:
155 
Jahr / Monat:
2017-03 
Quartal:
1. Quartal 
Monat:
Mar 
Seitenangaben Beitrag:
252–271 
Reviewed:
ja 
Sprache:
en 
Verlag / Institution:
Elsevier B.V. 
Print-ISSN:
0047-259X 
Status:
Postprint / reviewed 
Semester:
WS 16-17 
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik 
Format:
Text