Functional data analysis for cash flow and transactions intensity continuous-time prediction using Hilbert-valued autoregressive processes

DOI10.1016/j.ejor.2006.08.030zbMath1126.62080MaRDI QIDQ2464245

Algirdas Laukaitis

Publication date: 10 December 2007

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2006.08.030

zbMATH Keywords

wavelet bases; high frequency data; functional data analysis; credit cards payment systems; functional AR model

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

46N30: Applications of functional analysis in probability theory and statistics

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Uses Software

• fda (R)

Cites Work

• Functional data analysis
• Wavelet methods for continuous-time prediction using Hilbert-valued autoregressive processes
• Functional data analysis of the dynamics of the monthly index of nondurable goods production.
• Autoregressive Forecasting of Some Functional Climatic Variations
• Ten Lectures on Wavelets
• Test of Significance When Data Are Curves
• The Econometrics of Ultra-high-frequency Data
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