victor’s talk smat.epfl.ch/victor
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Victor’s talk http://smat.epfl.ch/victor / - PowerPoint PPT PresentationTRANSCRIPT
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Victor’s talk http://smat.epfl.ch/victor/
Panaretos, V.M. & Tavakoli, S. (2012).Cramér-Karhunen-Loève Representation and Harmonic Principal Component Analysis of Functional Time Series. Technical Report #03-12, November 2012, Chair of Mathematical Statistics, EPFL. (Invited contribution to a special issue of Stochastic Processes and their Applications -- Under review).
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α + β t + γ cos 2 π t / 12 + δ sin 2 π t /12
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ANOVA table
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anova(junk1) (Intercept) xaxisAnalysis of Variance Table 21.84923 0.01209Response: log10(junk) Df Sum Sq Mean Sq F value Pr(>F)xaxis 1 1.77919 1.77919 811.16 < 2.2e-16 ***Residuals 274 0.60099 0.00219
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Classical regressionResponse: cardiovascular mortalityExplanatories: temperature, particulates
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Lag.plot S_t = _1 + _2 S{t-l} + w_t
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Detrending plus algebra
Difference operator
x_t = x_t – x_{t-1}
Backshift operator
Bx_t = x_{t-1}
x_t = (1 – B)x_t
B^k x_t = x_{t-k}
^3 = (1-B)^3 = 1 – 3B +3B^2 – B^3
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“return” = (x_t – x_{t-1])/x_{t-1}
log x_t = log(x_t/x_{t-1}) return
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Appendix B
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