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Empirical properties of forecasts with the functional autoregressive model

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Author Info

  • Devin Didericksen

    ()

  • Piotr Kokoszka

    ()

  • Xi Zhang

    ()

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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s00180-011-0256-2
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    Bibliographic Info

    Article provided by Springer in its journal Computational Statistics.

    Volume (Year): 27 (2012)
    Issue (Month): 2 (June)
    Pages: 285-298

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    Handle: RePEc:spr:compst:v:27:y:2012:i:2:p:285-298

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    Web page: http://www.springerlink.com/link.asp?id=120306

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    Related research

    Keywords: Autoregressive process; Functional data; Prediction;

    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Philippe C. Besse, 2000. "Autoregressive Forecasting of Some Functional Climatic Variations," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics & Finnish Statistical Society & Norwegian Statistical Association & Swedish Statistical Association, vol. 27(4), pages 673-687.
    2. V. Kargin & Alexei Onatski, 2004. "Curve Forecasting by Functional Autoregression," Discussion Papers 0405-18, Columbia University, Department of Economics.
    3. Horváth, Lajos & Husková, Marie & Kokoszka, Piotr, 2010. "Testing the stability of the functional autoregressive process," Journal of Multivariate Analysis, Elsevier, vol. 101(2), pages 352-367, February.
    4. Gabrys, Robertas & Horváth, Lajos & Kokoszka, Piotr, 2010. "Tests for Error Correlation in the Functional Linear Model," Journal of the American Statistical Association, American Statistical Association, vol. 105(491), pages 1113-1125.
    5. Antoniadis, Anestis & Sapatinas, Theofanis, 2003. "Wavelet methods for continuous-time prediction using Hilbert-valued autoregressive processes," Journal of Multivariate Analysis, Elsevier, vol. 87(1), pages 133-158, October.
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    Cited by:
    1. Battey, Heather & Sancetta, Alessio, 2013. "Conditional estimation for dependent functional data," Journal of Multivariate Analysis, Elsevier, vol. 120(C), pages 1-17.

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