Derivation of a State-Space Model by Functional Data Analysis

Mariano Valderrama (), Mónica Ortega-Moreno (), Pedro González () and Ana Aguilera ()

Computational Statistics, 2003, vol. 18, issue 3, 533-546

Abstract: By approximating a stochastic process by means of spline interpolation of its sample-paths, a time dependent state-space model is introduced. Then we derive the expression of the associated transition matrix that allows to obtain a discrete model useful in applications. In order to essay the behaviour of the proposed models simulations on a narrow-band process are developed. Finally, the paper includes an application with real data obtained from the Stock Market of Madrid. Copyright Physica-Verlag 2003

Keywords: Functional PCA; B-spline; state-space model; Kaiman filter; narrow-band process (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:spr:compst:v:18:y:2003:i:3:p:533-546

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DOI: 10.1007/BF03354615

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