Curve forecasting by functional autoregression
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dimension reductionfunctional data analysisinterest ratespredictive factorprincipal componentreduced-rank regressionsingular value decompositionterm structure
Prediction theory (aspects of stochastic processes) (60G25) 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)
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Cites work
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- Convergence du lissage spline de la prévision des processus autorégressifs fonctionnels
- Forecasting the term structure of government bond yields
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- Interpolation zwischen den Klassen 𝔖p von Operatoren in Hilberträumen
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Cited in
(54)- Estimation of a nonparametric model for bond prices from cross-section and time series information
- Testing the stability of the functional autoregressive process
- Functional time series model identification and diagnosis by means of auto- and partial autocorrelation analysis
- Functional linear regression with functional response
- Monitoring the intraday volatility pattern
- Quantifying prediction uncertainty for functional-and-scalar to functional autoregressive models under shape constraints
- Dependent functional data
- A bootstrap-based KPSS test for functional time series
- Varying coefficient functional autoregressive model with application to the U.S. treasuries
- Resolvent estimators for functional autoregressive processes with random coefficients
- Shape-preserving prediction for stationary functional time series
- Exponential bounds for intensity of jumps
- Best linear predictor of a \(C_{[0, 1]}\)-valued functional autoregressive process
- Forecasting functional time series
- Testing stationarity of functional time series
- Empirical properties of forecasts with the functional autoregressive model
- Extensions of some classical methods in change point analysis
- White noise testing and model diagnostic checking for functional time series
- Detecting and estimating intensity of jumps for discretely observed \(\mathrm{ARMA}D(1,1)\) processes
- A functional version of the ARCH model
- Determining the order of the functional autoregressive model
- KPSS test for functional time series
- Consistency of the plug-in functional predictor of the Ornstein-Uhlenbeck process in Hilbert and Banach spaces
- A nonparametric estimator for the covariance function of functional data
- Forecast Functions Implied by Autoregressive Integrated Moving Average Models and Other Related Forecast Procedures
- Test of independence for functional data
- Conditional estimation for dependent functional data
- Computing the best linear predictor in a Hilbert space. Applications to general ARMAH processes
- Detecting changes in functional linear models
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- A plug-in bandwidth selection procedure for long-run covariance estimation with stationary functional time series
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- Functional Time Series Prediction Under Partial Observation of the Future Curve
- White noise testing for functional time series
- Functional time series forecasting: functional singular spectrum analysis approaches
- Time series of functional data with application to yield curves
- A review study of functional autoregressive models with application to energy forecasting
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- Variable Selection for the Prediction of C[0,1]-Valued Autoregressive Processes using Reproducing Kernel Hilbert Spaces
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- Testing mean stationarity of intraday volatility curves
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- On the CLT for discrete Fourier transforms of functional time series
- Inference for the autocovariance of a functional time series under conditional heteroscedasticity
- Weakly dependent functional data
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