Abstract
Dimension reduction techniques play a key role in analysing functional data that possess temporal or spatial dependence. Of these dimension reduction techniques functional principal components analysis (FPCA) remains a popular approach. Functional principal components extract a set of latent components by maximizing variance in a set of dependent functional data. However, this technique may fail to adequately capture temporal or spatial autocorrelation. Functional maximum autocorrelation factors (FMAF) are proposed as an alternative for modeling and forecasting temporally or spatially dependent functional data. FMAF find linear combinations of the original functional data that have maximum autocorrelation and that are decreasingly predictable functions of time. We show that FMAF can be obtained by searching for the rotated components that have the smallest integrated first derivatives. Through a basis function expansion, a set of scores are obtained by multiplying the extracted FMAF with the original functional data. Autocorrelation in the original functional time series is manifested in the autocorrelation of these scores derived. Through a set of Monte Carlo simulation results, we study the finite-sample properties of the proposed FMAF. Wherever possible, we compare the performance between FMAF and FPCA. In an enhanced vegetation index data from Harvard Forest we apply FMAF to capture temporal or spatial dependency
Original language | English |
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Title of host publication | MODSIM2015, 21st International Congress on Modelling and Simulation. Modelling and Simulation Society of Australia and New Zealand |
Editors | Weber, T., McPhee, M.J. and Anderssen, R.S. |
Place of Publication | Australia |
Publisher | The Modelling and Simulation Society of Australia and New Zealand Inc. |
Pages | 159-164 |
Edition | Peer Reviewed |
ISBN (Print) | 9780987214355 |
DOIs | |
Publication status | Published - 2015 |
Event | 21st International Congress on Modelling and Simulation (MODSIM2015) - Gold Coast, Australia Duration: 1 Jan 2015 → … http://www.mssanz.org.au/modsim2015/index.html |
Conference
Conference | 21st International Congress on Modelling and Simulation (MODSIM2015) |
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Country/Territory | Australia |
Period | 1/01/15 → … |
Other | November 29-December 4 2015 |
Internet address |