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On the Prediction of Stationary Functional Time Series

  • Author(s): Aue, A
  • Norinho, DD
  • Hörmann, S
  • et al.
Abstract

© 2015, American Statistical Association. This article addresses the prediction of stationary functional time series. Existing contributions to this problem have largely focused on the special case of first-order functional autoregressive processes because of their technical tractability and the current lack of advanced functional time series methodology. It is shown here how standard multivariate prediction techniques can be used in this context. The connection between functional and multivariate predictions is made precise for the important case of vector and functional autoregressions. The proposed method is easy to implement, making use of existing statistical software packages, and may, therefore, be attractive to a broader, possibly nonacademic, audience. Its practical applicability is enhanced through the introduction of a novel functional final prediction error model selection criterion that allows for an automatic determination of the lag structure and the dimensionality of the model. The usefulness of the proposed methodology is demonstrated in a simulation study and an application to environmental data, namely the prediction of daily pollution curves describing the concentration of particulate matter in ambient air. It is found that the proposed prediction method often significantly outperforms existing methods.

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