Forecasting intraday financial time series with sieve bootstrapping and dynamic updating
利用筛法自助法与动态更新预测日内金融时间序列
Intraday financial data often take the form of a collection of curves that can be observed sequentially over time, such as intraday stock price curves. These curves can be viewed as a time series of functions observed on equally spaced and dense grids. Due to the curse of dimensionality, high-dimensional data poses challenges from a statistical aspect; however, it also provides opportunities to analyze a rich source of information so that the dynamic changes within…