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Titel:

Time series of functional data with application to yield curves

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
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...     »
Stichworte:
asymptotics, functional principal component, functional regression, prediction, vector ARMA
Dewey Dezimalklassifikation:
510 Mathematik
Zeitschriftentitel:
Applied Stochastic Models in Business and Industry
Jahr:
2019
Band / Volume:
35
Jahr / Monat:
2019-03
Quartal:
1. Quartal
Monat:
Mar
Heft / Issue:
4
Seitenangaben Beitrag:
1028-1043
Sprache:
en
Volltext / DOI:
doi:10.1002/asmb.2443
WWW:
Wiley
Verlag / Institution:
Wiley
E-ISSN:
1524-19041526-4025
Status:
Verlagsversion / published
Eingereicht (bei Zeitschrift):
12.03.2017
Angenommen (von Zeitschrift):
12.03.2019
Publikationsdatum:
18.03.2019
Semester:
WS 18-19
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik
Format:
Text
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