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)

Related Items (17)

Estimation of functional ARMA models ⋮ A new approach for time domain analysis of multivariate and functional time series ⋮ Bootstrap methods for stationary functional time series ⋮ Functional ARCH and GARCH models: a Yule-Walker approach ⋮ High-dimensional functional time series forecasting: an application to age-specific mortality rates ⋮ Functional GARCH models: the quasi-likelihood approach and its applications ⋮ Fractionally integrated curve time series with cointegration ⋮ A comparison of Hurst exponent estimators in long-range dependent curve time series ⋮ Inference for the autocovariance of a functional time series under conditional heteroscedasticity ⋮ Trend filtering for functional data ⋮ Functional time series forecasting: functional singular spectrum analysis approaches ⋮ Intraday forecasts of a volatility index: functional time series methods with dynamic updating ⋮ Functional horseshoe smoothing for functional trend estimation ⋮ Variable Selection for the Prediction of C[0,1-Valued Autoregressive Processes using Reproducing Kernel Hilbert Spaces] ⋮ Different PCA approaches for vector functional time series with applications to resistive switching processes ⋮ Feature extraction for functional time series: theory and application to NIR spectroscopy data ⋮ On projection methods for functional time series forecasting

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Fourier analysis of stationary time series in function space
• Computing the best linear predictor in a Hilbert space. Applications to general ARMAH processes
• Inference for functional data with applications
• On the CLT for discrete Fourier transforms of functional time series
• General linear processes in Hilbert spaces and prediction
• Curve forecasting by functional autoregression
• Weakly dependent functional data
• Linear processes in function spaces. Theory and applications
• Strictly stationary solutions of ARMA equations in Banach spaces
• Forecasting functional time series
• A Functional Wavelet–Kernel Approach for Time Series Prediction
• ESTIMATION OF THE COEFFICIENTS OF A MULTIVARIATE LINEAR FILTER USING THE INNOVATIONS ALGORITHM
• Approximation spline de la prevision d'un processus fonctionnel autorégressif d'ordre 1
• Theoretical Foundations of Functional Data Analysis, with an Introduction to Linear Operators
• ON THE INVERTIBILITY OF MULTIVARIATE LINEAR PROCESSES
• On the Prediction of Stationary Functional Time Series
• Dynamic Functional Principal Components
• Inference and Prediction in Large Dimensions
• Operator Theory

This page was built for publication: An innovations algorithm for the prediction of functional linear processes