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Empirical properties of forecasts with the functional autoregressive model

Author

Listed:
  • Devin Didericksen
  • Piotr Kokoszka
  • Xi Zhang
Abstract
No abstract is available for this item.

Suggested Citation

  • Devin Didericksen & Piotr Kokoszka & Xi Zhang, 2012. "Empirical properties of forecasts with the functional autoregressive model," Computational Statistics, Springer, vol. 27(2), pages 285-298, June.
    • Handle: RePEc:spr:compst:v:27:y:2012:i:2:p:285-298
    DOI: 10.1007/s00180-011-0256-2
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    References listed on IDEAS

    as
    1. Kargin, V. & Onatski, A., 2008. "Curve forecasting by functional autoregression," Journal of Multivariate Analysis, Elsevier, vol. 99(10), pages 2508-2526, November.
    2. 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.
    3. Philippe C. Besse & Herve Cardot & David B. Stephenson, 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, December.
    4. 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.
    5. 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.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
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    Cited by:

    1. Daniel Kosiorowski & Dominik Mielczarek & Jerzy P. Rydlewski & Małgorzata Snarska, 2018. "Generalized Exponential Smoothing In Prediction Of Hierarchical Time Series," Statistics in Transition New Series, Polish Statistical Association, vol. 19(2), pages 331-350, June.
    2. Daniel Kosiorowski & Jerzy P. Rydlewski & Małgorzata Snarska, 2019. "Detecting a structural change in functional time series using local Wilcoxon statistic," Statistical Papers, Springer, vol. 60(5), pages 1677-1698, October.
    3. Xu, Meng & Li, Jialiang & Chen, Ying, 2017. "Varying coefficient functional autoregressive model with application to the U.S. treasuries," Journal of Multivariate Analysis, Elsevier, vol. 159(C), pages 168-183.
    4. Kosiorowski Daniel & Mielczarek Dominik & Rydlewski Jerzy P. & Snarska Małgorzata, 2018. "Generalized Exponential Smoothing In Prediction Of Hierarchical Time Series," Statistics in Transition New Series, Statistics Poland, vol. 19(2), pages 331-350, June.
    5. Daniel Kosiorowski & Dominik Mielczarek & Jerzy P. Rydlewski, 2017. "Aggregated moving functional median in robust prediction of hierarchical functional time series - an application to forecasting web portal users behaviors," Papers 1710.02669, arXiv.org, revised Jul 2018.
    6. Rice, Gregory & Wirjanto, Tony & Zhao, Yuqian, 2021. "Exploring volatility of crude oil intra-day return curves: a functional GARCH-X Model," MPRA Paper 109231, University Library of Munich, Germany.
    7. Mestre, Guillermo & Portela, José & Rice, Gregory & Muñoz San Roque, Antonio & Alonso, Estrella, 2021. "Functional time series model identification and diagnosis by means of auto- and partial autocorrelation analysis," Computational Statistics & Data Analysis, Elsevier, vol. 155(C).
    8. Daniel R. Kowal & David S. Matteson & David Ruppert, 2019. "Functional Autoregression for Sparsely Sampled Data," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 37(1), pages 97-109, January.
    9. Battey, Heather & Sancetta, Alessio, 2013. "Conditional estimation for dependent functional data," Journal of Multivariate Analysis, Elsevier, vol. 120(C), pages 1-17.
    10. Cerovecki, Clément & Hörmann, Siegfried, 2017. "On the CLT for discrete Fourier transforms of functional time series," Journal of Multivariate Analysis, Elsevier, vol. 154(C), pages 282-295.
    11. Alexander Gleim & Nazarii Salish, 2022. "Forecasting Environmental Data: An example to ground-level ozone concentration surfaces," Papers 2202.03332, arXiv.org.

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