A functional linear model for time series prediction with exogenous variables

Aldo Goia

doi:10.1016/j.spl.2012.02.009

A functional linear model for time series prediction with exogenous variables

Aldo Goia

Dipartimento di Studi per l'Economia e l'Impresa

Risultato della ricerca: Contributo su rivista › Articolo in rivista › peer review

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.

Lingua originale	Inglese
pagine (da-a)	1005-1011
Numero di pagine	7
Rivista	Statistics and Probability Letters
Volume	82
Numero di pubblicazione	5
DOI	https://doi.org/10.1016/j.spl.2012.02.009
Stato di pubblicazione	Pubblicato - mag 2012

Accesso al documento

10.1016/j.spl.2012.02.009

Altri file e collegamenti

Link to publication in Scopus

Cita questo

@article{d6138e8a67b9447c93e9372fd7289790,

title = "A functional linear model for time series prediction with exogenous variables",

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 = "ARH(1), B-spline, Exogeneity, Functional model, Regularization",

author = "Aldo Goia",

year = "2012",

month = may,

doi = "10.1016/j.spl.2012.02.009",

language = "English",

volume = "82",

pages = "1005--1011",

journal = "Statistics and Probability Letters",

issn = "0167-7152",

publisher = "Elsevier",

number = "5",

}

TY - JOUR

T1 - A functional linear model for time series prediction with exogenous variables

AU - Goia, Aldo

PY - 2012/5

Y1 - 2012/5

N2 - 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.

AB - 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.

KW - ARH(1)

KW - B-spline

KW - Exogeneity

KW - Functional model

KW - Regularization

UR - http://www.scopus.com/inward/record.url?scp=84857675769&partnerID=8YFLogxK

U2 - 10.1016/j.spl.2012.02.009

DO - 10.1016/j.spl.2012.02.009

M3 - Article

SN - 0167-7152

VL - 82

SP - 1005

EP - 1011

JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

IS - 5

ER -

A functional linear model for time series prediction with exogenous variables

Abstract

Accesso al documento

Altri file e collegamenti

Fingerprint

Cita questo