Derivation of a state-space model by functional data analysis

DOI10.1007/BF03354615MaRDI QIDQ1887229zbMATH OpenFDO

Authors Yanyan Li, Mariano J. Valderrama, Mónica Ortega-Moreno, P. González-Rodelas, Ana M. Aguilera

Publication date 24 November 2004

Published in Computational Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/BF03354615

zbMATH Keywords

Kalman filterKarhunen-Loève expansionspline interpolation

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11)

Review text

A state-space model is proposed for prediction of continuous stochastic processes observed at discrete points. It is based on spline-interpolation of the original process approximated by Karhunen-Loève expansions and Kalman-Bucy filtering techniques. Results of simulations for narrow-band processes and applications to Madrid stock market data are presented.

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Cites work

• Approximation of estimators in the PCA of a stochastic process using B-splines
• ARCH models and financial applications
• Forecasting time series by functional PCA. Discussion of several weighted approaches
• scientific article; zbMATH DE number 4060621 (Why is no real title available?)
• scientific article; zbMATH DE number 3537179 (Why is no real title available?)
• Kalman filtering on approximate state-space models

Cited in

(7)

• Stochastic modelling for evolution of stock prices by means of functional principal component analysis
• State space models with finite dimensional dependence
• A state space model for non-stationary functional data
• Prediction and interpolation of time series by state space models
• scientific article; zbMATH DE number 1129911 (Why is no real title available?)
• Regular kernel method for state space model
• On a state-space modelling for functional data

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