Functional regression of continuous state distributions

DOI10.1016/J.JECONOM.2011.09.024MaRDI QIDQ738165zbMATH OpenOpenAlexFDO

Authors Joon Y. Park, Junhui Qian

Publication date 15 August 2016

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

Full work available at URL https://doi.org/10.1016/j.jeconom.2011.09.024

zbMATH Keywords

functional regressionmoment dependencetime-varying density

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Non-Markovian processes: estimation (62M09) Central limit and other weak theorems (60F05)

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Cites work

• A family of minimax rates for density estimators in continuous time
• Bootstrap Unit Root Tests
• CLT in functional linear regression models
• Functional data analysis
• Nonparametric statistics for stochastic processes. Estimation and prediction.
• Regression Quantiles
• Weak convergence in the functional autoregressive model

Cited in

(10)

• Cointegrated linear processes in Bayes Hilbert space
• Functional principal component analysis for cointegrated functional time series
• Evaluating trends in time series of distributions: a spatial fingerprint of human effects on climate
• Functional linear regression with functional response
• Compositional regression with functional response
• Trends in distributional characteristics: existence of global warming
• A moment-based notion of time dependence for functional time series
• PCA-based estimation for functional linear regression with functional responses
• Functional quantile autoregression
• Nonstationarity in time series of state densities

Describes a project that uses

Uses Software

• fda (R)

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