Functional Autoregression for Sparsely Sampled Data

Kowal, DR; Matteson, DS; Ruppert, D

Kowal, DR (reprint author), Cornell Univ, Dept Stat Sci, 301 Malott Hall, Ithaca, NY 14853 USA.

JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 2019; 37 (1): 97

Abstract

We develop a hierarchical Gaussian process model for forecasting and inference of functional time series data. Unlike existing methods, our approach i......

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