Search Results - subject:"Functional principal component"

Forecasting intraday S&P 500 index returns : a functional time series approach

Shang, Han Lin - In: Journal of forecasting 36 (2017) 7, pp. 741-755

Persistent link: https://www.econbiz.de/10011860709

Forecasting Yield Curves in an Adaptive Framework

Chen, Ying; Li, Bo - In: Central European Journal of Economic Modelling and … 3 (2011) 4, pp. 237-259

, functional principal component analysis (FPCA) is used to extract factors capable of representing the features of yield curves …

Persistent link: https://www.econbiz.de/10010610423

A survey of functional principal component analysis

Shang, Han Lin - Department of Econometrics and Business Statistics, … - 2011

component analysis, functional principal component regression, and bootstrap in functional principal component regression … statistics and many others. This paper provides a review into functional data analysis with main emphasis on functional principal …

Persistent link: https://www.econbiz.de/10009131119

Some methods for analyzing big dependent data

Tsay, Ruey S. - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 4, pp. 673-688

Persistent link: https://www.econbiz.de/10011692453

A multilevel functional data method for forecasting population, with an application to the United Kingdom

Shang, Han Lin; Smith, Peter W. F.; Bijak, Jakub; … - In: International journal of forecasting 32 (2016) 3, pp. 629-649

Persistent link: https://www.econbiz.de/10011621743

Nonstationarity in time series of state densities

Chang, Yoosoon; Kim, Chang Sik; Park, Joon Y. - In: Journal of econometrics 192 (2016) 1, pp. 152-167

Persistent link: https://www.econbiz.de/10011617129

Modeling hourly Electricity Spot Market Prices as non stationary functional times series

Liebl, Dominik - Volkswirtschaftliche Fakultät, … - 2010

paper we introduce a robust version of functional principal component analysis for sparse data. The functional perspective …

Persistent link: https://www.econbiz.de/10008642664

Nonparametric modeling and forecasting electricity demand: an empirical study

Shang, Han Lin - Department of Econometrics and Business Statistics, … - 2010

series of curves. The forecasting methods reduce the dimensionality by applying functional principal component analysis to … the observed data, and then utilize an univariate time series forecasting method and functional principal component …

Persistent link: https://www.econbiz.de/10008725785

Nonparametric time series forecasting with dynamic updating

Shang, Han Lin; Hyndman, Rob J - Department of Econometrics and Business Statistics, … - 2009

. We propose first to reduce the dimensionality by applying functional principal component analysis to the historical … observations, and then to use univariate time series forecasting and functional principal component regression techniques. When …

Persistent link: https://www.econbiz.de/10004998471

Influence function of projection-pursuit principal components for functional data

Bali, Juan Lucas; Boente, Graciela - In: Journal of Multivariate Analysis 133 (2015) C, pp. 173-199

In the finite-dimensional setting, Li and Chen (1985) proposed a method for principal components analysis using projection-pursuit techniques. This procedure was generalized to the functional setting by Bali et al. (2011), where also different penalized estimators were defined to provide smooth...

Persistent link: https://www.econbiz.de/10011116248