A robust functional time series forecasting method

DOI10.1080/00949655.2019.1572146MaRDI QIDQ5107356zbMATH OpenOpenAlexWikidataFDO

Authors Han Lin Shang

Publication date 27 April 2020

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1901.06030

zbMATH Keywords

ground-level ozone concentrationmultivariate least trimmed squares estimatorsprojection pursuitrobust functional principal component regressionvector autoregressive model

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Nonparametric robustness (62G35) Linear regression; mixed models (62J05) Applications of statistics to environmental and related topics (62P12)

Cites work

• A plug-in bandwidth selection procedure for long-run covariance estimation with stationary functional time series
• A Practitioner's Guide to Lag Order Selection For VAR Impulse Response Analysis
• A Simplex Method for Function Minimization
• Alternatives to the Median Absolute Deviation
• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
• Dynamic functional principal components
• Estimation of the Mean of Functional Time Series and a Two-Sample Problem
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• scientific article; zbMATH DE number 469335 (Why is no real title available?)
• Influence function and efficiency of the minimum covariance determinant scatter matrix estimator
• Measuring the Advantages of Multivariate vs. Univariate Forecasts
• On the prediction of stationary functional time series
• Robust estimation for vector autoregressive models
• Robust estimation of the vector autoregressive model by a least trimmed squares procedure
• Robust forecasting of mortality and fertility rates: a functional data approach
• Robust functional linear regression based on splines
• Robust Statistics
• The Model Confidence Set
• The multivariate least-trimmed squares estimator

Cited in

(7)

• Forecasting time series by functional PCA. Discussion of several weighted approaches
• Forecasting functional time series using weighted likelihood methodology
• Functional time series forecasting: functional singular spectrum analysis approaches
• Functional forecasting of dissolved oxygen in high-frequency vertical lake profiles
• Template based functional prediction with applications to noninvasive mechanical ventilation and surface EMG techniques
• On randomly periodic strongly dependent time series, with applications to neural respiratory drive data
• Curve forecasting by functional autoregression

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Uses Software

• MCS

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