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- Document type:
- Buchbeitrag
- Author(s):
- Aue, A. and Klepsch, J.
- Title:
- Estimating invertible functional time series
- Pages contribution:
- 51-58
- Abstract:
- This contribution discusses the estimation of an invertible functional time series through fitting of functional moving average processes. The method uses a functional version of the innovations algorithm and dimension reduction onto a number of principal directions. Several methods are suggested to automate the procedures. Empirical evidence is presented in the form of simulations and an application to traffic data.
- Keywords:
- Order Selection, Functional Principal Component Analysis, Functional Principal Component, Principal Subspace, Innovation Algorithm
- Editor:
- Aneiros, G, Bongiorno, E.G., Cao, R. and Vieu, P.
- Book title:
- Functional Statistics and Related Fields.
- Publisher:
- Springer
- Date of publication:
- 28.04.2017
- Year:
- 2017
- Quarter:
- 2. Quartal
- Year / month:
- 2017-04
- Month:
- Apr
- Print-ISBN:
- 978-3319558455
- Language:
- en
- WWW:
- Springer
- Semester:
- SS 17
- TUM Institution:
- Lehrstuhl für Mathematische Statistik
- Format:
- Text
BibTeX