Some research on functional data analysis

  • Authors:
  • Hui Liu

  • Affiliations:
  • Tsinghua University, Beijing, PRC

  • Venue:
  • ICSI'10 Proceedings of the First international conference on Advances in Swarm Intelligence - Volume Part II
  • Year:
  • 2010

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Abstract

In order to model the functional time series system, we developed a new model–Gaussian process hidden Markov model. We use the hidden Markov model to characterize the time order of system, and Gaussian process to model the function observations. We utilized this new model to consider the functional time series classification and prediction problem. The simulation results for real data demonstrate that our model is efficient.