Functional Autoregression Without Truncation: A Continuous-Regularization Approach
无需截断的函数自回归:连续正则化方法AI 解读 ↓
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AI 根据所提供的论文材料归类:摘要核心是函数自回归 FAR(1) 的估计与预测误差比较,并含 PM10 曲线预测应用,直接对应时间序列与预测方向;未涉及因果识别、面板或金融资产定价等主题。
无需截断的函数自回归:连续正则化方法AI 解读 ↓
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Functional autoregressive models of order one (FAR(1)) are predominantly estimated by projecting curves onto leading functional principal components and fitting a vector autoregression in score space, requiring a discrete truncation level $K$ chosen by an \emph{ad hoc} variance threshold. We demonstrate via Monte Carlo experiments that the truncation choice is both consequential and highly regime dependent: the optimal $K$ can differ by an order of magnitude across data-generating regimes, while commonly used high variance thresholds (95\%, 99\%) lead to substantial forecast deterioration, inflating error by up to $35 \%$ relative to an oracle benchmark. We propose a Tikhonov-regularized estimator $\widehatΨ_α= \widehat{C}_1(\widehat{C}_0 + αI)^{-1}$ that replaces the discrete truncation choice with a continuous regularization parameter, selected in a data-driven manner. We establish the convergence rate $n^{-β/(2(β+1))}$ under a source condition with smoothness parameter $β\in (0, 1]$, achieving the saturation rate $n^{-1/4}$ for smoother targets. Across three contrasting regimes and four sample sizes, the proposed estimator closely tracks the oracle-best FPCA rule and outperforms it in the most challenging wide-spectrum regime, without prior knowledge of the effective operator dimension. An application to 2{,}735 daily intraday PM10 curves from Vienna confirms a 9.7\% reduction in mean forecast error relative to the popular 80\% threshold and exhibits more stable parameter adaptation across 16 winter seasons.
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