Convolutional autoregressive models for functional time series

DOI10.1016/J.JECONOM.2016.05.006MaRDI QIDQ308370zbMATH OpenOpenAlexFDO

Authors Xialu Liu, Han Xiao, Rong Chen

Publication date 6 September 2016

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2016.05.006

zbMATH Keywords

nonparametric methodssieve estimationfunctional time seriesspline methods

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Functional data analysis (62R10)

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Cited in

(15)

• Functional Time Series Prediction Under Partial Observation of the Future Curve
• Pricing European-type, early-exercise and discrete barrier options using an algorithm for the convolution of Legendre series
• Varying coefficient functional autoregressive model with application to the U.S. treasuries
• Seasonal functional autoregressive models
• A comparison of Hurst exponent estimators in long-range dependent curve time series
• A review study of functional autoregressive models with application to energy forecasting
• Long-range dependent curve time series
• Sieve bootstrapping the memory parameter in long-range dependent stationary functional time series
• Stock market trend prediction using a functional time series approach
• Modeling Functional Time Series and Mixed-Type Predictors With Partially Functional Autoregressions
• A convolution-based autoregressive process
• Weak convergence in the functional autoregressive model
• Multi-spectral decomposition of functional autoregressive models
• Functional quantile autoregression
• Functional time series forecasting: functional singular spectrum analysis approaches

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