Dynamic functional principal components

Siegfried Hörmann, Lukasz Kidziski, Marc Hallin

Research output: Contribution to journalArticle

Abstract

We address the problem of dimension reduction for time series of functional data $(X_t : t\in Z)$. 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 Xt represents 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.
Original languageEnglish
Pages (from-to)319-348
Number of pages30
JournalJournal of the Royal Statistical Society / B
Volume77
Issue number2
Publication statusPublished - 2015

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