Functional data analysis for cash flow and transactions intensity continuous-time prediction using Hilbert-valued autoregressive processes
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Publication:2464245
DOI10.1016/j.ejor.2006.08.030zbMath1126.62080MaRDI QIDQ2464245
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
wavelet bases; high frequency data; functional data analysis; credit cards payment systems; functional AR model
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
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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