Forecasting time series by functional PCA. Discussion of several weighted approaches (Q1979102): Difference between revisions
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Latest revision as of 20:04, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Forecasting time series by functional PCA. Discussion of several weighted approaches |
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Forecasting time series by functional PCA. Discussion of several weighted approaches (English)
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24 May 2000
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The authors study continuous time series that have been observed only at discrete time points. A weighted estimation of the principal components is applied to forecast such time series. Several approaches are used to model and forecast a simulated narrow-band process by using different types of weighting functions. The model is compared with multivariate principal component regression models.
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time series
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principal components
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orthogonal expansions
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weighted functional estimation
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interpolating splines
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