2 papers
stat.ME2016
An Innovations Algorithm for the prediction of functional linear processes
Johannes Klepsch, Claudia Klüppelberg
When observations are curves over some natural time interval, the field of functional data analysis comes into play. Functional linear processes account for temporal dependence in…
stat.ME2016
Prediction of functional ARMA processes with an application to traffic data
J. Klepsch, C. Klüppelberg, T. Wei
This work is devoted to functional ARMA processes and approximating vector models based on functional PCA in the context of prediction. After deriving sufficient conditions…