A0466
Title: On Fourier based functional time series and state space models
Authors: Jan Beran - University of Konstanz (Germany) [presenting]
Jeremy Naescher - University of Konstanz (Germany)
Stephan Walterspacher - Klinikum Konstanz and Witten Herdecke University (Germany)
Abstract: State space models are considered that combine ideas from functional data analysis and Fourier analysis. The models are originally motivated by questions raised in the context of mechanical ventilation in intensive care medicine. Analogous ideas can be applied to any time series where non-constant time-dependent periodic patterns are expected. Asymptotic statistical inference and prediction are based on functional limit theorems, with weak convergence in suitable Hilbert spaces of sequences.
