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Document type:
Zeitschriftenaufsatz 
Author(s):
Sen, R. and Klüppelberg, C. 
Title:
Time series of functional data with application to yield curves 
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 autoregressive moving averag (VARMA) process. We justify the method by showing that an underlying ARMAH structure of the curves leads to a VARMA structure on the principal component sc...    »
 
Keywords:
asymptotics, functional principal component, functional regression, prediction, vector ARMA 
Dewey Decimal Classification:
510 Mathematik 
Journal title:
Applied Stochastic Models in Business and Industry 
Year:
2019 
Journal volume:
35 
Year / month:
2019-03 
Quarter:
1. Quartal 
Month:
Mar 
Journal issue:
Pages contribution:
1028-1043 
Language:
en 
Fulltext / DOI:
WWW:
Publisher:
Wiley 
E-ISSN:
1524-19041526-4025 
Status:
Verlagsversion / published 
Accepted:
12.03.2019 
Date of publication:
18.03.2019 
Semester:
WS 18-19 
TUM Institution:
Lehrstuhl für Mathematische Statistik 
Format:
Text