Curve forecasting by functional autoregression
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dimension reductionfunctional data analysissingular value decompositionterm structurereduced-rank regressioninterest ratesprincipal componentpredictive factor
Factor analysis and principal components; correspondence analysis (62H25) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Prediction theory (aspects of stochastic processes) (60G25)
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Cites work
- scientific article; zbMATH DE number 3942782 (Why is no real title available?)
- scientific article; zbMATH DE number 472970 (Why is no real title available?)
- scientific article; zbMATH DE number 2015204 (Why is no real title available?)
- scientific article; zbMATH DE number 2212219 (Why is no real title available?)
- An inequality for trace ideals
- Applied functional data analysis. Methods and case studies
- Approximation spline de la prevision d'un processus fonctionnel autorégressif d'ordre 1
- Autoregressive forecasting of some functional climatic variations
- Convergence du lissage spline de la prévision des processus autorégressifs fonctionnels
- Forecasting the term structure of government bond yields
- Functional data analysis
- Interpolation zwischen den Klassen 𝔖p von Operatoren in Hilberträumen
- Linear processes in function spaces. Theory and applications
- Redundancy analysis: an alternative for canonical correlation analysis
- Simultaneous nonlinear prediction
- Some results on multivariate autoregressive index models
- Wavelet methods for continuous-time prediction using Hilbert-valued autoregressive processes
Cited in
(52)- Conditional estimation for dependent functional data
- Computing the best linear predictor in a Hilbert space. Applications to general ARMAH processes
- Best linear predictor of a \(C_{[0, 1]}\)-valued functional autoregressive process
- Functional Time Series Prediction Under Partial Observation of the Future Curve
- KPSS test for functional time series
- Quantifying prediction uncertainty for functional-and-scalar to functional autoregressive models under shape constraints
- Detecting and estimating intensity of jumps for discretely observed \(\mathrm{ARMA}D(1,1)\) processes
- Dependent functional data
- Testing stationarity of functional time series
- Time series of functional data with application to yield curves
- An introduction to functional data analysis and a principal component approach for testing the equality of mean curves
- White noise testing for functional time series
- Detecting trends in time series of functional data: a study of antarctic climate change
- Varying coefficient functional autoregressive model with application to the U.S. treasuries
- Shape-preserving prediction for stationary functional time series
- Forecasting functional time series
- Extensions of some classical methods in change point analysis
- White noise testing and model diagnostic checking for functional time series
- A functional version of the ARCH model
- Seasonal functional autoregressive models
- Empirical properties of forecasts with the functional autoregressive model
- A review study of functional autoregressive models with application to energy forecasting
- A journey from univariate to multivariate functional time series: a comprehensive review
- Nonlinear prediction of functional time series
- A nonparametric estimator for the covariance function of functional data
- Consistency of the plug-in functional predictor of the Ornstein-Uhlenbeck process in Hilbert and Banach spaces
- A plug-in bandwidth selection procedure for long-run covariance estimation with stationary functional time series
- Determining the order of the functional autoregressive model
- Functional linear regression with functional response
- Improved functional portmanteau tests
- Inference for the lagged cross-covariance operator between functional time series
- Testing the stability of the functional autoregressive process
- Variable Selection for the Prediction of C[0,1]-Valued Autoregressive Processes using Reproducing Kernel Hilbert Spaces
- Exponential bounds for intensity of jumps
- Inference for the autocovariance of a functional time series under conditional heteroscedasticity
- Resolvent estimators for functional autoregressive processes with random coefficients
- A bootstrap-based KPSS test for functional time series
- Estimation of a nonparametric model for bond prices from cross-section and time series information
- An innovations algorithm for the prediction of functional linear processes
- A UNIFORM BOUND ON THE OPERATOR NORM OF SUB-GAUSSIAN RANDOM MATRICES AND ITS APPLICATIONS
- On the CLT for discrete Fourier transforms of functional time series
- Forecast Functions Implied by Autoregressive Integrated Moving Average Models and Other Related Forecast Procedures
- Functional time series model identification and diagnosis by means of auto- and partial autocorrelation analysis
- Asymptotic properties of a component-wise ARH(1) plug-in predictor
- Cointegration in functional autoregressive processes
- Test of independence for functional data
- Weakly dependent functional data
- Resampling techniques for estimating the distribution of descriptive statistics of functional data
- Monitoring the intraday volatility pattern
- Functional Autoregression for Sparsely Sampled Data
- Detecting changes in functional linear models
- Functional time series forecasting: functional singular spectrum analysis approaches
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