کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1147254 957566 2008 19 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Curve forecasting by functional autoregression
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آنالیز عددی
پیش نمایش صفحه اول مقاله
Curve forecasting by functional autoregression
چکیده انگلیسی

This paper deals with the prediction of curve-valued autoregression processes. It develops a novel technique, predictive factor decomposition, for the estimation of the autoregression operator. The technique is based on finding a reduced-rank approximation to the autoregression operator that minimizes the expected squared norm of the prediction error.Implementing this idea, we relate the operator approximation problem to the singular value decomposition of a combination of cross-covariance and covariance operators. We develop an estimation method based on regularization of the empirical counterpart of this singular value decomposition, prove its consistency and evaluate convergence rates.The method is illustrated by an example of the term structure of the Eurodollar futures rates. In the sample corresponding to the period of normal growth, the predictive factor technique outperforms the principal components method and performs on a par with custom-designed prediction methods.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Multivariate Analysis - Volume 99, Issue 10, November 2008, Pages 2508–2526
نویسندگان
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