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Title:

Time series of functional data with application to yield curves

Document type:
Zeitschriftenaufsatz
Author(s):
Sen, R. and Klüppelberg, C.
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:
4
Pages contribution:
1028-1043
Language:
en
Fulltext / DOI:
doi:10.1002/asmb.2443
WWW:
Wiley
Publisher:
Wiley
E-ISSN:
1524-19041526-4025
Status:
Verlagsversion / published
Submitted:
12.03.2017
Accepted:
12.03.2019
Date of publication:
18.03.2019
Semester:
WS 18-19
TUM Institution:
Lehrstuhl für Mathematische Statistik
Format:
Text
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