Segmental dynamic factor analysis for time series of curves

DOI10.1007/s11222-016-9707-5zbMath1384.62294OpenAlexW2529051962MaRDI QIDQ1703840

Allou Samé, Gérard Govaert

Publication date: 7 March 2018

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11222-016-9707-5

zbMATH Keywords

functional time seriescondition monitoringGaussian random walkdynamic factor analysismixture of regressionsvariational EMvisualization and forecasting

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sums of independent random variables; random walks (60G50)

Related Items (1)

Doubly-online changepoint detection for monitoring health status during sports activities

Uses Software

• fda (R)
• astsa

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• AN APPROACH TO TIME SERIES SMOOTHING AND FORECASTING USING THE EM ALGORITHM
• Forecasting the term structure of government bond yields
• Time series modeling by a regression approach based on a latent process
• Modelling high-dimensional data by mixtures of factor analyzers
• Functional dynamic factor models with application to yield curve forecasting
• Robust forecasting of mortality and fertility rates: a functional data approach
• Functional data analysis
• Principal component analysis.
• An introduction to variational methods for graphical models
• Nonparametric functional data analysis. Theory and practice.
• Autoregressive Forecasting of Some Functional Climatic Variations
• The EM Algorithm and Extensions, 2E
• Existence of a solution for a quasistatic problem of unilateral contact with local friction
• Principal component models for sparse functional data
• Recursive Noise Adaptive Kalman Filtering by Variational Bayesian Approximations
• On-Line Inference for Multiple Changepoint Problems
• On the Solution of Block-Tridiagonal Systems Arising from Certain Finite-Difference Equations
• VI.—The Estimation of Factor Loadings by the Method of Maximum Likelihood

This page was built for publication: Segmental dynamic factor analysis for time series of curves