Nonparametric trend estimation in functional time series with application to annual mortality rates
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Publication:6076497
DOI10.1111/BIOM.13353zbMATH Open1520.62284arXiv2001.04660OpenAlexW3049736513WikidataQ98472765 ScholiaQ98472765MaRDI QIDQ6076497FDOQ6076497
Authors: Israel Martínez-Hernández, Marc G. Genton 
Publication date: 17 October 2023
Published in: Biometrics (Search for Journal in Brave)
Abstract: Here, we address the problem of trend estimation for functional time series. Existing contributions either deal with detecting a functional trend or assuming a simple model. They consider neither the estimation of a general functional trend nor the analysis of functional time series with a functional trend component. Similarly to univariate time series, we propose an alternative methodology to analyze functional time series, taking into account a functional trend component. We propose to estimate the functional trend by using a tensor product surface that is easy to implement, to interpret, and allows to control the smoothness properties of the estimator. Through a Monte Carlo study, we simulate different scenarios of functional processes to show that our estimator accurately identifies the functional trend component. We also show that the dependency structure of the estimated stationary time series component is not significantly affected by the error approximation of the functional trend component. We apply our methodology to annual mortality rates in France.
Full work available at URL: https://arxiv.org/abs/2001.04660
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nonparametric estimatorannual mortality ratedetrending functional time seriesnonstationary functional time seriespenalized tensor product surface
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Cited In (4)
- Functional horseshoe smoothing for functional trend estimation
- Improvement of the nonparametric estimation of functional stationary time series using Yeo-Johnson transformation with application to temperature curves
- Estimation of partial derivative functionals with application to human mortality data analysis
- Robust forecasting of mortality and fertility rates: a functional data approach
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