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Titel:

An Innovations Algorithm for the prediction of functional linear processes

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Klepsch, J. and Klüppelberg, C.
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
Volltext / DOI:
doi:10.1016/j.jmva.2017.01.005
WWW:
Journal of Multivariate Analysis
Verlag / Institution:
Elsevier B.V.
Print-ISSN:
0047-259X
Status:
Postprint / reviewed
Semester:
WS 16-17
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik
Format:
Text
 BibTeX