Functional Factor Regression with an Application to Electricity Price Curve Modeling
函数型因子回归及其在电价曲线建模中的应用
We propose a function-on-function linear regression model for time-dependent curve data that is consistently estimated by imposing factor structures on the regressors. An integral operator based on cross-covariances identifies two components for each functional regressor: a predictive low-dimensional component, along with associated factors that are guaranteed to be correlated with the dependent variable, and an infinite-dimensional component that has no predictive power. In…