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Document type:
Zeitschriftenaufsatz 
Author(s):
Klepsch, J. and Klüppelberg, C. 
Title:
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...    »
 
Keywords:
functional linear process, functional principal components, functional time series, Hilbert space valued process, Innovations Algorithm, prediction, prediction error 
Dewey Decimal Classification:
510 Mathematik 
Journal title:
Journal of Multivariate Analysis 
Year:
2017 
Journal volume:
155 
Year / month:
2017-03 
Quarter:
1. Quartal 
Month:
Mar 
Pages contribution:
252–271 
Reviewed:
ja 
Language:
en 
Publisher:
Elsevier B.V. 
Print-ISSN:
0047-259X 
Status:
Postprint / reviewed 
Semester:
WS 16-17 
TUM Institution:
Lehrstuhl für Mathematische Statistik 
Format:
Text