Prediction of functional ARMA processes with an application to traffic data

J. Klepsch, C. Klüppelberg and T. Wei

Econometrics and Statistics, 2017, vol. 1, issue C, 128-149

Abstract: For a functional ARMA(p, q) process an approximating vector model, based on functional PCA, is presented. Sufficient conditions are given for the existence of a stationary solution to both the functional and the vector model equations, and the structure of the approximating vector model is investigated. The stationary vector process is used to predict the functional process, where bounds for the difference between vector and functional best linear predictor are given. Finally, functional ARMA processes are applied for the modeling and prediction of highway traffic data.

Keywords: Functional ARMA process; Functional principal component analysis (FPCA); Functional time series analysis (FTSA); Functional prediction; Traffic data analysis (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (22)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecosta:v:1:y:2017:i:c:p:128-149

DOI: 10.1016/j.ecosta.2016.10.009

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