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Activity Number: 15
Type: Topic Contributed
Date/Time: Sunday, August 3, 2014 : 2:00 PM to 3:50 PM
Sponsor: Business and Economic Statistics Section
Abstract #313058
Title: Convolutional Autoregressive Models for Functional Time Series
Author(s): Rong Chen*+ and Xialu Liu
Companies: Rutgers University and Rutgers University
Keywords: Ergodicity ; spline estimation
Abstract:

Due to the advances of technology and data collection capability, there are more and more applications involving functional data observed over time. We develop a convolutional AR model to model the dynamics of functional time series. Estimation methods and their asymptotic properties are studied. Simulated and real data examples are presented.


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