On the prediction of stationary functional time series
From MaRDI portal
Publication:5367373
DOI10.1080/01621459.2014.909317zbMATH Open1373.62462arXiv1208.2892OpenAlexW2141154703MaRDI QIDQ5367373FDOQ5367373
Authors: Alexander Aue, Diogo Dubart Norinho, Siegfried Hörmann 
Publication date: 13 October 2017
Published in: Journal of the American Statistical Association (Search for Journal in Brave)
Abstract: This paper addresses the prediction of stationary functional time series. Existing contributions to this problem have largely focused on the special case of first-order functional autoregressive processes because of their technical tractability and the current lack of advanced functional time series methodology. It is shown here how standard multivariate prediction techniques can be utilized in this context. The connection between functional and multivariate predictions is made precise for the important case of vector and functional autoregressions. The proposed method is easy to implement, making use of existing statistical software packages, and may therefore be attractive to a broader, possibly non-academic, audience. Its practical applicability is enhanced through the introduction of a novel functional final prediction error model selection criterion that allows for an automatic determination of the lag structure and the dimensionality of the model. The usefulness of the proposed methodology is demonstrated in a simulation study and an application to environmental data, namely the prediction of daily pollution curves describing the concentration of particulate matter in ambient air. It is found that the proposed prediction method often significantly outperforms existing methods.
Full work available at URL: https://arxiv.org/abs/1208.2892
Recommendations
- Functional methods for time series prediction: a nonparametric approach
- Functional Time Series Prediction Under Partial Observation of the Future Curve
- Shape-preserving prediction for stationary functional time series
- An innovations algorithm for the prediction of functional linear processes
- Nonparametric time series prediction: A semi-functional partial linear modeling
dimension reductionforecastingtime seriesparticulate mattervector autoregressionsfunctional principal componentsfinal prediction errorfunctional autoregressions
Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Applications of statistics to environmental and related topics (62P12)
Cited In (88)
- Estimating the conditional distribution in functional regression problems
- Functional generalized autoregressive conditional heteroskedasticity
- KPSS test for functional time series
- Sieve bootstrap for functional time series
- Efficiency in multivariate functional nonparametric models with autoregressive errors
- Prediction of functions of a stationary process
- Functional GARCH models: the quasi-likelihood approach and its applications
- Regularised forecasting via smooth-rough partitioning of the regression coefficients
- A functional linear model for time series prediction with exogenous variables
- From multivariate to functional data analysis: fundamentals, recent developments, and emerging areas
- Detecting relevant differences in the covariance operators of functional time series: a sup-norm approach
- Shape-preserving prediction for stationary functional time series
- A nonparametric test for stationarity in functional time series
- Testing for periodicity in functional time series
- Rates of convergence of autocorrelation estimates for periodically correlated autoregressive Hilbertian processes
- On projection methods for functional time series forecasting
- On consistency and sparsity for high-dimensional functional time series with application to autoregressions
- Sparsely observed functional time series: estimation and prediction
- Extremes of projections of functional time series on data-driven basis systems
- Seasonal functional autoregressive models
- Grouped multivariate and functional time series forecasting: an application to annuity pricing
- Functional data analysis in the Banach space of continuous functions
- Finite sample theory for high-dimensional functional/scalar time series with applications
- A comparison of Hurst exponent estimators in long-range dependent curve time series
- Nonparametric regression for locally stationary functional time series
- Prediction theory for stationary functional time series
- Empirical properties of forecasts with the functional autoregressive model
- A plug-in bandwidth selection procedure for long-run covariance estimation with stationary functional time series
- Multi-dimensional functional principal component analysis
- Forecasting pollen concentration by a two-step functional model
- Multivariate functional response regression, with application to fluorescence spectroscopy in a cervical pre-cancer study
- Nonparametric trend estimation in functional time series with application to annual mortality rates
- Inference for the lagged cross-covariance operator between functional time series
- Simultaneous inference of the mean of functional time series
- Functional linear regression with functional response
- Detecting structural breaks in eigensystems of functional time series
- Dynamic regression models for time-ordered functional data
- Multi-population modelling and forecasting life-table death counts
- Ecological prediction with nonlinear multivariate time-frequency functional data models
- Testing for stationarity of functional time series in the frequency domain
- Clustering and forecasting multiple functional time series
- A moment-based notion of time dependence for functional time series
- Detecting deviations from second-order stationarity in locally stationary functional time series
- Forecasting functional time series using weighted likelihood methodology
- Intraday forecasts of a volatility index: functional time series methods with dynamic updating
- A bootstrap-based KPSS test for functional time series
- Principal Component Analysis of Spatially Indexed Functions
- An innovations algorithm for the prediction of functional linear processes
- Bootstrap Prediction Bands for Functional Time Series
- A robust functional time series forecasting method
- 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
- Recent developments in complex and spatially correlated functional data
- Feature extraction for functional time series: theory and application to NIR spectroscopy data
- Monitoring procedures for strict stationarity based on the multivariate characteristic function
- Prediction models with functional data for variables related with energy production
- Locally stationary functional time series
- Lagged covariance and cross-covariance operators of processes in Cartesian products of abstract Hilbert spaces
- SPHARMA approximations for stationary functional time series on the sphere
- Functional Time Series Prediction Under Partial Observation of the Future Curve
- Testing for no effect in the spatial functional linear regression model
- Structural break analysis for spectrum and trace of covariance operators
- Time series of functional data with application to yield curves
- An autocovariance-based learning framework for high-dimensional functional time series
- Functional lagged regression with sparse noisy observations
- Functional principal component analysis for cointegrated functional time series
- Dynamic principal component regression for forecasting functional time series in a group structure
- Two-Sample Tests for Relevant Differences in the Eigenfunctions of Covariance Operators
- Improvement of the nonparametric estimation of functional stationary time series using Yeo-Johnson transformation with application to temperature curves
- Change-point analysis of time series with evolutionary spectra
- A journey from univariate to multivariate functional time series: a comprehensive review
- Nonlinear prediction of functional time series
- Estimation of functional ARMA models
- A new approach for time domain analysis of multivariate and functional time series
- Factor models for high‐dimensional functional time series I: Representation results
- Variable Selection for the Prediction of C[0,1]-Valued Autoregressive Processes using Reproducing Kernel Hilbert Spaces
- Improved short-term point and interval forecasts of the daily maximum tropospheric ozone levels via singular spectrum analysis
- Functional forecasting of dissolved oxygen in high-frequency vertical lake profiles
- On seasonal functional modeling under strong dependence, with applications to mechanically ventilated breathing activity
- Functional data analysis: an introduction and recent developments
- A UNIFORM BOUND ON THE OPERATOR NORM OF SUB-GAUSSIAN RANDOM MATRICES AND ITS APPLICATIONS
- Different PCA approaches for vector functional time series with applications to resistive switching processes
- Hypotheses testing of functional principal components
- Functional Linear Regression: Dependence and Error Contamination
- Functional Autoregression for Sparsely Sampled Data
- Functional time series forecasting: functional singular spectrum analysis approaches
- Trend filtering for functional data
- Unified Principal Component Analysis for Sparse and Dense Functional Data under Spatial Dependency
Uses Software
This page was built for publication: On the prediction of stationary functional time series
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5367373)
