Curve forecasting by functional autoregression

DOI10.1016/j.jmva.2008.03.001zbMath1151.62073OpenAlexW2058106374MaRDI QIDQ957330

Alexei Onatski, Vladislav Kargin

Publication date: 27 November 2008

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2008.03.001

zbMATH Keywords

singular value decompositiondimension reductioninterest ratesterm structurefunctional data analysisreduced-rank regressionprincipal componentpredictive factor

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Factor analysis and principal components; correspondence analysis (62H25) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Prediction theory (aspects of stochastic processes) (60G25)

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Uses Software

• fda (R)

Cites Work

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