Curve forecasting by functional autoregression
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More about this item
Keywords62H25 60G25 91B84 Functional data analysis Dimension reduction Reduced-rank regression Principal component Singular value decomposition Predictive factor Term structure Interest rates;
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
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