Hallin, Marc; Hörmann, Siegfried; Kidzinski, Lukasz - European Centre for Advanced Research in Economics and …
In this paper, we address the problem of dimension reduction for time series of functional data (X_t:t\in \mathbb{Z}). Such functional timeseries frequently arise, e.g. when a continuous-time process is segmented into some smaller natural units, such as days. Then each X_trepresents one intraday...