Using Observed Functional Data to Simulate a Stochastic Process via a Random Multiplicative Cascade Model

G. Damiana Costanzo (), S. De Bartolo (), F. Dell’Accio () and G. Trombetta ()
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G. Damiana Costanzo: UNICAL, Dip. Di Economia e Statistica
S. De Bartolo: UNICAL, Dip. di Difesa del Suolo V. Marone
F. Dell’Accio: UNICAL, Dip. di Matematica
G. Trombetta: UNICAL, Dip. di Matematica

A chapter in Proceedings of COMPSTAT'2010, 2010, pp 453-460 from Springer

Abstract: Abstract Considering functional data and an associated binary response, a method based on the definition of special Random Multiplicative Cascades to simulate the underlying stochastic process is proposed. It will be considered a class S of stochastic processes whose realizations are real continuous piecewise linear functions with a constrain on the increment and the family R of all binary responses Y associated to a process X in S. Considering data from a continuous phenomenon evolving in a time interval [0, T] which can be simulated by a pair (X, Y) ∈ S × R, a prediction tool which would make it possible to predict Y at each point of [0, T] is introduced. An application to data from an industrial kneading process is considered.

Keywords: functional data; stochastic process; multiplicative cascade (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-7908-2604-3_44

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DOI: 10.1007/978-3-7908-2604-3_44

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