An innovations algorithm for the prediction of functional linear processes

DOI10.1016/j.jmva.2017.01.005zbMath1397.62346arXiv1607.05874OpenAlexW4297174018MaRDI QIDQ512020

J. Klepsch, Claudia Klüppelberg

Publication date: 23 February 2017

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1607.05874

zbMATH Keywords

predictionprediction errorfunctional data analysis (FDA)functional time seriesfunctional principal componentsfunctional linear processHilbert space valued processinnovations algorithm

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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