A review and comparative study on functional time series techniques

arXiv1706.06288MaRDI QIDQ6288076FDOQ6288076

Publication date: 20 June 2017

Abstract: This paper reviews the main estimation and prediction results derived in the context of functional time series, when Hilbert and Banach spaces are considered, specially, in the context of autoregressive processes of order one (ARH(1) and ARB(1) processes, for H and B being a Hilbert and Banach space, respectively). Particularly, we pay attention to the estimation and prediction results, and statistical tests, derived in both parametric and non-parametric frameworks. A comparative study between different ARH(1) prediction approaches is developed in the simulation study undertaken.

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Prediction theory (aspects of stochastic processes) (60G25) Inference from stochastic processes and spectral analysis (62M15) Research exposition (monographs, survey articles) pertaining to statistics (62-02) Numerical methods for eigenvalue problems for boundary value problems involving PDEs (65N25) Hilbert and pre-Hilbert spaces: geometry and topology (including spaces with semidefinite inner product) (46C05) Hilbert subspaces (= operator ranges); complementation (Aronszajn, de Branges, etc.) (46C07) Comprehensive works on combinatorics, graph theory, and probability (educational aspects) (97K10)

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