Using Observed Functional Data to Simulate a Stochastic Process via a Random Multiplicative Cascade Model

  • G. Damiana Costanzo
  • S. De Bartolo
  • F. Dell’Accio
  • G. Trombetta
Conference paper

Abstract

Considering functional data and an associated binary response, a method based on the definition of special Random Multiplicative Cascades to simulate the underlying stochastic process is proposed. It will be considered a class S of stochastic processes whose realizations are real continuous piecewise linear functions with a constrain on the increment and the family R of all binary responses Y associated to a process X in S. Considering data from a continuous phenomenon evolving in a time interval [0, T] which can be simulated by a pair (X, Y) ∈ S × R, a prediction tool which would make it possible to predict Y at each point of [0, T] is introduced. An application to data from an industrial kneading process is considered.

Keywords

functional data stochastic process multiplicative cascade 

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Copyright information

© Springer-Verlag Berlin Heidelberg 2010

Authors and Affiliations

  • G. Damiana Costanzo
    • 1
  • S. De Bartolo
    • 2
  • F. Dell’Accio
    • 3
  • G. Trombetta
    • 3
  1. 1.Dip. Di Economia e StatisticaUNICALArcavacata di Rende (CS)Italy
  2. 2.Dip. di Difesa del Suolo V. MaroneUNICALArcavacata di Rende (CS)Italy
  3. 3.Dip. di MatematicaUNICALArcavacata di Rende (CS)Italy

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