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Approximation spline de la prevision d'un processus fonctionnel autorégressif d'ordre 1
Author(s) -
Besse Philippe C.,
Cardot Hervé
Publication year - 1996
Publication title -
canadian journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.804
H-Index - 51
eISSN - 1708-945X
pISSN - 0319-5724
DOI - 10.2307/3315328
Subject(s) - discretization , mathematics , spline (mechanical) , smoothing spline , smoothing , computer science , algorithm , mathematical analysis , statistics , spline interpolation , engineering , structural engineering , bilinear interpolation
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.