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

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10.1016/j.spl.2012.02.009

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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",

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

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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 - https://www.scopus.com/pages/publications/84857675769

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

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