Derivation of a state-space model by functional data analysis

DOI10.1007/BF03354615zbMath1050.62101MaRDI QIDQ1887229

Yanyan Li

Publication date: 24 November 2004

Published in: Computational Statistics (Search for Journal in Brave)

zbMATH Keywords

spline interpolationKalman filterKarhunen-Loève expansion

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11)

Related Items (1)

On a state-space modelling for functional data

Cites Work

• ARCH models and financial applications
• Kalman filtering on approximate state-space models
• Forecasting time series by functional PCA. Discussion of several weighted approaches
• Approximation of estimators in the PCA of a stochastic process using B-splines
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