Nonparametric trend estimation in functional time series with application to annual mortality rates
Israel Martínez‐Hernández and
Marc G. Genton
Biometrics, 2021, vol. 77, issue 3, 866-878
Abstract:
We address the problem of trend estimation for functional time series. Existing contributions either deal with detecting a functional trend or assuming a simple model. They consider neither the estimation of a general functional trend nor the analysis of functional time series with a functional trend component. Similarly to univariate time series, we propose an alternative methodology to analyze functional time series, taking into account a functional trend component. We propose to estimate the functional trend by using a tensor product surface that is easy to implement, to interpret, and allows to control the smoothness properties of the estimator. Through a Monte Carlo study, we simulate different scenarios of functional processes to show that our estimator accurately identifies the functional trend component. We also show that the dependency structure of the estimated stationary time series component is not significantly affected by the error approximation of the functional trend component. We apply our methodology to annual mortality rates in France.
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations:
Downloads: (external link)
https://doi.org/10.1111/biom.13353
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:bla:biomet:v:77:y:2021:i:3:p:866-878
Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0006-341X
Access Statistics for this article
More articles in Biometrics from The International Biometric Society
Bibliographic data for series maintained by Wiley Content Delivery ().