The ARHD model

DOI10.1016/J.JSPI.2005.12.006MaRDI QIDQ861222zbMATH OpenOpenAlexFDO

Authors André Mas, Besnik Pumo

Publication date 9 January 2007

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0502285

zbMATH Keywords

functional dataSobolev spacesENSOARHD modelcontinuous-time predictionEl Nino Southern oscillationsWong process

Mathematics Subject Classification ID

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) Applications of functional analysis in probability theory and statistics (46N30)

Abstract: We introduce and study a new model for functional data. The ARHD is an autoregressive model in which the first order derivative of the random curves appears explicitely. Convergent estimates are obtained through a double penalization method. A simluation and a real case study follow as well as comparisons with other recent techniques.

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Cited in

(10)

• Functional additive regression
• A survey of functional principal component analysis
• Empirical dynamics for longitudinal data
• scientific article; zbMATH DE number 2190878 (Why is no real title available?)
• Functional generalized linear moduls with derivative
• Consistency of the plug-in functional predictor of the Ornstein-Uhlenbeck process in Hilbert and Banach spaces
• Functional time series approach for forecasting very short-term electricity demand
• Sieves estimator of functional autoregressive process
• Resolvent estimators for functional autoregressive processes with random coefficients
• Functional linear regression with derivatives

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• fda (R)

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