Search Results - subject:"Functional Data"

Forecasting density function : application in finance

Sen, Rituparna; Ma, Changie - In: Journal of mathematical finance 5 (2015) 5, pp. 433-447

Persistent link: https://www.econbiz.de/10011440098

Valuation of large variable annuity portfolios under nested simulation : a functional data approach

Gan, Guojun; Lin, X. Sheldon - In: Insurance / Mathematics & economics 62 (2015), pp. 138-150

Persistent link: https://www.econbiz.de/10011312079

Instrumental variable estimation in functional linear models

Florens, Jean-Pierre; Van Bellegem, Sébastien - In: Journal of econometrics 186 (2015) 2, pp. 465-476

Persistent link: https://www.econbiz.de/10011349445

An analysis of implied volatility jump dynamics : novel functional data representation in crude oil markets

Kearney, Fearghal; Murphy, Finbarr; Cummins, Mark - In: The North American journal of economics and finance : a … 33 (2015), pp. 199-216

Persistent link: https://www.econbiz.de/10011535207

Interpretable support vector machines for functional data

Martin-Barragan, Belen; Lillo, Rosa; Romo, Juan - In: European Journal of Operational Research 232 (2014) 1, pp. 146-155

applications. Linear SVM provides a classifier based on a linear score. In the case of functional data, the coefficient function …

Persistent link: https://www.econbiz.de/10010738147

Theoretical and practical aspects of the quadratic error in the local linear estimation of the conditional density for functional data

Rachdi, Mustapha; Laksaci, Ali; Demongeot, Jacques; … - In: Computational Statistics & Data Analysis 73 (2014) C, pp. 53-68

The problem of the nonparametric local linear estimation of the conditional density of a scalar response variable given a random variable taking values in a semi-metric space is considered. Some theoretical and practical asymptotic properties of this estimator are established. The usefulness of...

Persistent link: https://www.econbiz.de/10010738194

A functional approach to monitor and recognize patterns of daily traffic profiles

Guardiola, I.G.; Leon, T.; Mallor, F. - In: Transportation Research Part B: Methodological 65 (2014) C, pp. 119-136

Functional Data Analysis (FDA) is a collection of statistical techniques for the analysis of information on curves or …

Persistent link: https://www.econbiz.de/10010786540

Recursive estimation of nonparametric regression with functional covariate

Amiri, Aboubacar; Crambes, Christophe; Thiam, Baba - In: Computational Statistics & Data Analysis 69 (2014) C, pp. 154-172

The main purpose is to estimate the regression function of a real random variable with functional explanatory variable by using a recursive nonparametric kernel approach. The mean square error and the almost sure convergence of a family of recursive kernel estimates of the regression function...

Persistent link: https://www.econbiz.de/10010871359

Testing stationarity of functional time series

Horváth, Lajos; Kokoszka, Piotr; Rice, Gregory - In: Journal of Econometrics 179 (2014) 1, pp. 66-82

Economic and financial data often take the form of a collection of curves observed consecutively over time. Examples include, intraday price curves, yield and term structure curves, and intraday volatility curves. Such curves can be viewed as a time series of functions. A fundamental issue that...

Persistent link: https://www.econbiz.de/10011052307

Approximate inference for spatial functional data on massively parallel processors

Rakêt, Lars Lau; Markussen, Bo - In: Computational Statistics & Data Analysis 72 (2014) C, pp. 227-240

greater than ever. The functional mixed-effects model is a well established class of models for analyzing functional data …. Spatial functional data in a mixed-effects setting is considered, and so-called operator approximations for doing inference in … points.11Code for analyzing spatial functional data on graphics processing units is available as Supplementary material. …

Persistent link: https://www.econbiz.de/10011056417