Wavelet methods for continuous-time prediction using Hilbert-valued autoregressive processes
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Besov spacesSobolev spacesBanach spacesHilbert spacesTikhonov-Phillips regularizationWaveletsSingular value decompositionSmoothing splinesAutoregressive Hilbert processesContinuous-time predictionIll-posed inverse problemsSARIMA modelsEl Niño-Southern Oscillations
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) 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) Probability theory on linear topological spaces (60B11) Ill-posedness and regularization problems in numerical linear algebra (65F22)
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Cites work
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Cited in
(51)- Functional Time Series Prediction Under Partial Observation of the Future Curve
- Forecasting non-stationary time series by wavelet process modelling
- A note on exponential inequalities in Hilbert spaces for spatial processes with applications to the functional kernel regression model
- Plug-in prediction intervals for a special class of standard ARH(1) processes
- A Functional Wavelet–Kernel Approach for Time Series Prediction
- Nonparametric time series forecasting with dynamic updating
- Estimation of a change-point in the mean function of functional data
- Testing stationarity of functional time series
- Aspects of prediction
- Varying coefficient functional autoregressive model with application to the U.S. treasuries
- Shape-preserving prediction for stationary functional time series
- A nonparametric test for stationarity in functional time series
- White noise testing and model diagnostic checking for functional time series
- Bandwidth selection for functional time series prediction
- Forecasting limit order book liquidity supply-demand curves with functional autoregressive dynamics
- Recursive nonparametric regression estimation for dependent strong mixing functional data
- Wavelet methods for continuous-time prediction using Hilbert-valued autoregressive processes
- Prediction theory for stationary functional time series
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- An Adaptive Functional Autoregressive Forecast Model to Predict Electricity Price Curves
- Periodically correlated autoregressive Hilbertian processes
- Consistency of the plug-in functional predictor of the Ornstein-Uhlenbeck process in Hilbert and Banach spaces
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- Determining the order of the functional autoregressive model
- Sieves estimator of functional autoregressive process
- Bayesian estimation in a high dimensional parameter framework
- Wavelet methods in statistics: some recent developments and their applications
- Spatiotemporal filtering from fractal spatial functional data sequence
- Testing the stability of the functional autoregressive process
- The ARHD model
- Weak convergence in the functional autoregressive model
- Functional wavelet-based modelling of dependence between lupus and stress
- Modeling seasonality and serial dependence of electricity price curves with warping functional autoregressive dynamics
- Testing for stationarity of functional time series in the frequency domain
- Detecting deviations from second-order stationarity in locally stationary functional time series
- On a minimum distance estimate of the period in functional autoregressive processes
- Resolvent estimators for functional autoregressive processes with random coefficients
- Fourier analysis of stationary time series in function space
- Weak convergence of the conditional U-statistics for locally stationary functional time series
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- On the kernel rule for function classification
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