A functional linear model for time series prediction with exogenous variables

Aldo Goia

Statistics & Probability Letters, 2012, vol. 82, issue 5, 1005-1011

Abstract: This note deals with the study of a functional linear model for time series prediction which combines a functional endogenous predictor and real and functional exogenous variables. A penalized B-spline type estimator for the real and functional coefficients is presented and some weak consistency results are derived under suitable conditions.

Keywords: Functional model; Exogeneity; B-spline; Regularization; ARH(1) (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (7)

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DOI: 10.1016/j.spl.2012.02.009

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