Linear Processes for Functional Data

Details Linear Processes for Functional Data Linear Processes for Functional Data

2009-01-16

arxiv.org/abs/0901.2503v1

Mathematics

Statistics Theory

Scientific paper

Linear processes on functional spaces were born about fifteen years ago. And this original topic went through the same fast development as the other areas of functional data modeling such as PCA or regression. They aim at generalizing to random curves the classical ARMA models widely known in time series analysis. They offer a wide spectrum of models suited to the statistical inference on continuous time stochastic processes within the paradigm of functional data. Essentially designed to improve the quality and the range of prediction, they give birth to challenging theoretical and applied problems. We propose here a state of the art which emphasizes recent advances and we present some promising perspectives based on our experience in this area.

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