Functional Time Series Prediction Under Partial Observation of the Future Curve
成果类型：
Article
署名作者：
Jiao, Shuhao; Aue, Alexander; Ombao, Hernando
署名单位：
King Abdullah University of Science & Technology; University of California System; University of California Davis
刊物名称：
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
ISSN/ISSBN：
0162-1459
DOI：
10.1080/01621459.2021.1929248
发表日期：
2023
页码：
315-326
关键词：
摘要：
This article tackles one of the most fundamental goals in functional time series analysis which is to provide reliable predictions for future functions. Existing methods for predicting a complete future functional observation use only completely observed trajectories. We develop a new method, called partial functional prediction (PFP), which uses both completely observed trajectories and partial information (available partial data) on the trajectory to be predicted. The PFP method includes an automatic selection criterion for tuning parameters based on minimizing the prediction error, and the convergence rate of the PFP prediction is established. Simulation studies demonstrate that incorporating partially observed trajectory in the prediction outperforms existing methods with respect to mean squared prediction error. The PFP method is illustrated to be superior in the analysis of environmental data and traffic flow data.