Empirical properties of forecasts with the functional autoregressive model

DOI10.1007/s00180-011-0256-2zbMath1304.65026OpenAlexW2073716448MaRDI QIDQ2512788

Yanyan Li

Publication date: 30 January 2015

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

Full work available at URL: https://doi.org/10.1007/s00180-011-0256-2

zbMATH Keywords

predictionfunctional dataautoregressive process

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08)

Related Items (13)

Conditional estimation for dependent functional data ⋮ Functional Time Series Prediction Under Partial Observation of the Future Curve ⋮ A new approach for time domain analysis of multivariate and functional time series ⋮ Dependent functional data ⋮ Functional ARCH and GARCH models: a Yule-Walker approach ⋮ Rates of convergence of autocorrelation estimates for periodically correlated autoregressive Hilbertian processes ⋮ Detecting a structural change in functional time series using local Wilcoxon statistic ⋮ Varying coefficient functional autoregressive model with application to the U.S. treasuries ⋮ Modeling seasonality and serial dependence of electricity price curves with warping functional autoregressive dynamics ⋮ On the CLT for discrete Fourier transforms of functional time series ⋮ Functional time series model identification and diagnosis by means of auto- and partial autocorrelation analysis ⋮ Functional prediction of intraday cumulative returns ⋮ Determining the order of the functional autoregressive model

Uses Software

• fda (R)

Cites Work

• Unnamed Item
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• Curve forecasting by functional autoregression
• Weakly dependent functional data
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• Consistency of the mean and the principal components of spatially distributed functional data
• Nonparametric functional data analysis. Theory and practice.
• Autoregressive Forecasting of Some Functional Climatic Variations
• Functional Data Analysis with R and MATLAB
• Approximation spline de la prevision d'un processus fonctionnel autorégressif d'ordre 1
• Tests for Error Correlation in the Functional Linear Model
• Inference and Prediction in Large Dimensions

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