A functional linear model for time series prediction with exogenous variables

DOI10.1016/j.spl.2012.02.009zbMath1241.62124OpenAlexW2094942690MaRDI QIDQ433596

Aldo Goia

Publication date: 5 July 2012

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2012.02.009

zbMATH Keywords

regularization\(B\)-splinesARH(1)

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Inference from stochastic processes and prediction (62M20) Estimation in multivariate analysis (62H12) Numerical computation using splines (65D07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items

Detecting and estimating intensity of jumps for discretely observed \(\mathrm{ARMA}D(1,1)\) processes ⋮ Multivariate functional linear regression and prediction ⋮ Generalized additive models for functional data ⋮ Classification methods for Hilbert data based on surrogate density ⋮ Interaction models for functional regression ⋮ Choosing the most relevant level sets for depicting a sample of densities ⋮ Functional additive regression ⋮ Regularised forecasting via smooth-rough partitioning of the regression coefficients ⋮ Peak-Load Forecasting Using a Functional Semi-Parametric Approach

Cites Work

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• Nonparametric regression estimation for dependent functional data: asymptotic normality
• Functional methods for time series prediction: a nonparametric approach
• Nonparametric models for functional data, with application in regression, time series prediction and curve discrimination
• Electricity consumption prediction with functional linear regression using spline estimators
• Varying-Coefficient Functional Linear Regression Models
• A practical guide to splines.

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