Journal Article

Dynamic functional principal components

Hallin, Marc, Hörmann, Siegfried, Kidziński, Łukasz

2015

Overview

We address the problem of dimension reduction for time series of functional data (Xt:t∈Z). Such functional time series frequently arise, for example, when a continuous time process is segmented into some smaller natural units, such as days. Then each Xₜrepresents one intraday curve. We argue that functional principal component analysis, though a key technique in the field and a benchmark for any competitor, does not provide an adequate dimension reduction in a time series setting. Functional principal component analysis indeed is a static procedure which ignores the essential information that is provided by the serial dependence structure of the functional data under study. Therefore, inspired by Brillinger's theory of dynamic principal components, we propose a dynamic version of functional principal component analysis which is based on a frequency domain approach. By means of a simulation study and an empirical illustration, we show the considerable improvement that the dynamic approach entails when compared with the usual static procedure.

• Publisher: Royal Statistical Society,Blackwell Publishing Ltd,John Wiley & Sons Ltd,Oxford University Press
• Subject: Agrarian problems / Approximation / Benchmarking / Covariance / Dimension reduction / Dynamics / Eigenfunctions / Eigenvalues / equations / Estimators / Frequency domain analysis / Functional data analysis / Functional spectral analysis / Functional time series / Information / International / Karhunen Loeve expansion / Karhunen-Loève expansion / Mathematical vectors / principal component analysis / Principal components / Principal components analysis / Simulation / Spectral energy distribution / Statistical analysis / Statistics / Time / Time series / time series analysis