Abstract Details
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Activity Number:
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227
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Type:
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Topic Contributed
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Date/Time:
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Monday, August 5, 2013 : 2:00 PM to 3:50 PM
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Sponsor:
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Section on Nonparametric Statistics
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| Abstract - #307989 |
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Title:
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Adaptive Forecasting with a Functional AR Model
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Author(s):
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Ying Chen*+ and Bo Li
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Companies:
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National University of Singapore and National University of Singapore
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Keywords:
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Functional AR ;
Local adaptive approach
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Abstract:
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We propose a local functional autoregressive(LFAR) model to estimate and forecast the functional time series, where the parameter operators are time dependent. The estimation is conducted via a sequential testing on likelihood ratios. Since maximum likelihood estimation often fails in infinite dimensional case, we apply the sieves method. Along with simulations and empirical analysis on financial functional data, we investigate the performance of the LFAR model in terms of forecsting.
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Authors who are presenting talks have a * after their name.
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