Empirical properties of forecasts with the functional autoregressive model

DOI10.1007/s00180-011-0256-2zbMath1304.65026OpenAlexW2073716448MaRDI QIDQ2512788

Yanyan Li

Publication date: 30 January 2015

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00180-011-0256-2

zbMATH Keywords

predictionfunctional dataautoregressive process

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08)

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Conditional estimation for dependent functional data, Functional Time Series Prediction Under Partial Observation of the Future Curve, A new approach for time domain analysis of multivariate and functional time series, Dependent functional data, Functional ARCH and GARCH models: a Yule-Walker approach, Rates of convergence of autocorrelation estimates for periodically correlated autoregressive Hilbertian processes, Detecting a structural change in functional time series using local Wilcoxon statistic, Varying coefficient functional autoregressive model with application to the U.S. treasuries, Modeling seasonality and serial dependence of electricity price curves with warping functional autoregressive dynamics, On the CLT for discrete Fourier transforms of functional time series, Functional time series model identification and diagnosis by means of auto- and partial autocorrelation analysis, Functional prediction of intraday cumulative returns, Determining the order of the functional autoregressive model

Uses Software

• fda (R)

Cites Work

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