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https://dx.doi.org/10.48550/ar...
Article . 2020
License: CC BY
Data sources: Datacite
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Functional Time Series Forecasting: Functional Singular Spectrum Analysis Approaches

Authors: Trinka, Jordan; Haghbin, Hossein; Maadooliat, Mehdi;

Functional Time Series Forecasting: Functional Singular Spectrum Analysis Approaches

Abstract

In this paper, we propose two nonparametric methods used in the forecasting of functional time-dependent data, namely functional singular spectrum analysis recurrent forecasting and vector forecasting. Both algorithms utilize the results of functional singular spectrum analysis and past observations in order to predict future data points where recurrent forecasting predicts one function at a time and the vector forecasting makes predictions using functional vectors. We compare our forecasting methods to a gold standard algorithm used in the prediction of functional, time-dependent data by way of simulation and real data and we find our techniques do better for periodic stochastic processes.

Keywords

FOS: Computer and information sciences, 62M10, 62M20, 46N30, 60G35, Computer Science - Machine Learning, Statistics - Machine Learning, Machine Learning (stat.ML), Machine Learning (cs.LG)

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citations
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
0
Average
Average
Average
Green