Nonparametric time series prediction: A semi-functional partial linear modeling

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• 作者：Germá ; n Aneiros-Pé ; rez ; Philippe Vieu
• 关键词：Partial linear regression ; Functional data ; Semiparametric functional model ; Dependent data ; Time series prediction
• 刊名：Journal of Multivariate Analysis
• 出版年：2008
• 出版时间：May 2008
• 年：2008
• 卷：99
• 期：5
• 页码：834-857
• 全文大小：453 K

文摘

There is a recent interest in developing new statistical methods to predict time series by taking into account a continuous set of past values as predictors. In this functional time series prediction approach, we propose a functional version of the partial linear model that allows both to consider additional covariates and to use a continuous path in the past to predict future values of the process. The aim of this paper is to present this model, to construct some estimates and to look at their properties both from a theoretical point of view by means of asymptotic results and from a practical perspective by treating some real data sets. Although the literature on the use of parametric or nonparametric functional modeling is growing, as far as we know, this is the first paper on semiparametric functional modeling for the prediction of time series.