The ARHD model

André Mas (1) , Besnik Pumo (2)

1 IMAG - Institut Montpelliérain Alexander Grothendieck
2 INHP - Institut National d'Horticulture et du Paysage

We introduce and study a new model for functional data. The ARHD is an autoregressive model in which the first order derivative of the random curves appears explicitely. Convergent estimates are obtained through a double penalization method. A simluation and a real case study follow as well as comparisons with other recent techniques.

Mots clés: ARHD model; continuous time prediction; Sobolev spaces; ENSO; Wong process; functional data

Domaines: Statistiques [math.ST]

André Mas, Besnik Pumo. The ARHD model. Journal of Statistical Planning and Inference, 2007, 137 (2), pp.538-553. ⟨10.1016/j.jspi.2005.12.006⟩. ⟨hal-00004252⟩