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Hi, hope that you will be fine, I have a problem with functional time series,
I am working with the hourly electricity spot price data, due to the large
dimensionality I convert the discrete data into functional data. The model I
use the functional autoregressive model of order more than one, as per my
knowledge there no R package available to deal with such model, so I apply an
alternative method, using the functional principal components (FPC's) as
dimensional reduction, utilizing the associated principal components for the
forecasting through multivariate time series model. Then I convert these
forecast scores into functional curves through Karhunen-Loeve decomposition
into a functional form, in such a way I obtained a forecast of each day as a
single curve. Know, to check the accuracy of the model I want to calculate
percentage mean square error or mean absolute error. know my problem start from
here, So I want to reverse back each curve into 24 discrete points, is there is
any package in R which is helpful in dealing with such a problem. I will be
waiting
for your fruitful reply in this regard.
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