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arXiv · 1701.00770

Estimating functional time series by moving average model fitting

Alexander Aue·Johannes Klepsch
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Abstract

Functional time series have become an integral part of both functional data and time series analysis. Important contributions to methodology, theory and application for the prediction of future trajectories and the estimation of functional time series parameters have been made in the recent past. This paper continues this line of research by proposing a first principled approach to estimate invertible functional time series by fitting functional moving average processes. The idea is to estimate the coefficient operators in a functional linear filter. To do this a functional Innovations Algorithm is utilized as a starting point to estimate the corresponding moving average operators via suitable projections into principal directions. In order to establish consistency of the proposed estimators, asymptotic theory is developed for increasing subspaces of these principal directions. For practical purposes, several strategies to select the number of principal directions to include in the estimation procedure as well as the choice of order of the functional moving average process are discussed. Their empirical performance is evaluated through simulations and an application to vehicle traffic data.

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Alexander Aue, Johannes Klepsch. 2017-01-03. Estimating functional time series by moving average model fitting. https://arxiv.org/abs/1701.00770

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