Shape-preserving prediction for stationary functional time series
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Publication:2233562
DOI10.1214/21-EJS1882zbMATH Open1487.37096arXiv1910.12046OpenAlexW3187037230MaRDI QIDQ2233562FDOQ2233562
Authors: Shuhao Jiao, Hernando C. Ombao 
Publication date: 11 October 2021
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Abstract: This article presents a novel method for prediction of stationary functional time series, in particular for trajectories that share a similar pattern but display variable phases. The limitation of most of the existing prediction methodologies for functional time series is that they only consider vertical variation (amplitude, scale, or vertical shift). To overcome this limitation, we develop a shape-preserving (SP) prediction method that incorporates both vertical and horizontal variation. One major advantage of our proposed method is the ability to preserve the shape of functions. Moreover, our proposed SP method does not involve unnatural transformations and can be easily implemented using existing software packages. The utility of the SP method is demonstrated in the analysis of non-metanic hydrocarbons (NMHC) concentration. The analysis demonstrates that the prediction by the SP method captures the common pattern better than the existing prediction methods and also provides competitive prediction accuracy.
Full work available at URL: https://arxiv.org/abs/1910.12046
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