A functional linear model for time series prediction with exogenous variables

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.

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Year of publication:	2012
Authors:	Goia, Aldo
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 82.2012, 5, p. 1005-1011
Publisher:	Elsevier
Subject:	Functional model \| Exogeneity \| B-spline \| Regularization \| ARH(1)

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010571773