Functional dynamic factor models with application to yield curve forecasting

DOI10.1214/12-AOAS551zbMath1454.62302arXiv1209.6172OpenAlexW2029865151MaRDI QIDQ714342

Jianhua Z. Huang, Haipeng Shen, Spencer Hays

Publication date: 21 October 2012

Published in: The Annals of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1209.6172

zbMATH Keywords

cross-validationexpectation maximization algorithmfunctional data analysisnatural cubic splinesroughness penalty

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Functional data analysis (62R10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Uses Software

• forecast
• fda (R)

Cites Work

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