fpcb (version 0.1.0)

fpcb-package: Predictive confindence bands for functional time series forecasting

Description

Functions to represent functional objects under a Reproducing Kernel Hilbert Space (RKHS) framework as described in Mu<U+00F1>oz & Gonz<U+00E1>lez (2010). <doi:10.1016/j.patrec.2009.07.014>. Autoregressive Hilbertian Model for functional time series using RKHS and predictive confidence bands construction as proposed in Hern<U+00E1>ndez et al (2021) <arXiv:2105.13627>.

References

• A. Mu<U+00F1>oz, J. Gonz<U+00E1>lez, Representing functional data using support vector machines, Pattern Recognition Letters 31 (2010) 511<U+2013>516. <doi:10.1016/j.patrec.2009.07.014>.

• Martos, G. et al (2018): Entropy Measures for Stochastic Processes with Applications in Functional Anomaly Detection. Entropy 20(1): 33 (2018). <doi:10.3390/e20010033>.

• D. Wang, Z. Zhao, R. Willett, C. Y. Yau, Functional autoregressive processes in reproducing kernel hilbert spaces, arXiv preprint arXiv:2011.13993 (2020).

• N. Hern<U+00E1>ndez, J. Cugliari, J. Jacques. Simultaneous Predictive Bands for Functional Time Series using Minimum Entropy Sets. arXiv:2105.13627 (2021).