Approximation spline de la prevision d'un processus fonctionnel autorégressif d'ordre 1
- 18 December 1996
- journal article
- Published by Wiley in The Canadian Journal of Statistics / La Revue Canadienne de Statistique
- Vol. 24 (4) , 467-487
- https://doi.org/10.2307/3315328
Abstract
We present a method to approximate and forecast, on an entire interval, a continuous‐time process. For this purpose, we use the modelization of ARH(l) processes, defined by Bosq (1991). We deal with the practical problem of the discretization of the observed trajectories and approximate them by means of spline functions. We show by simulations that for well‐chosen smoothing parameters, good prediction can be obtained in comparison with the “predictable” part of the process. Finally, we apply this model to forecast road traffic and compare it with a SARIMA model.Keywords
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