Module fts 

Functional time series serial-dependence diagnostics.

R baselines

• functional_acf / functional_pacf — fdaACF::facf (Mestre et al. 2021, Computational Statistics & Data Analysis).
• stationarity_test — ftsa::T_stationary (Horváth, Kokoszka, Rice 2014, Journal of Econometrics 179:66–82).
• long_run_covariance — ftsa::long_run_covariance_estimation (Bartlett HAC kernel-sandwich estimator).
• functional_difference — ftsa::diff.fts (functional first-difference).

Conventions

Entry points take an explicit deterministic seed (StdRng::seed_from_u64(seed)) and default Monte-Carlo replications of 999. All public functions return Result<_, FdarError> and validate inputs at entry. Result structs derive Debug, Clone, PartialEq and are serde-gated.

Structs

ArModelResult

Diagnostics for a single fitted FPC-score AR(p) model.

DpcaReconstruction

Result of DPCA curve reconstruction from dynamic scores.

DpcaResult

Result of dynamic functional PCA (DPCA).

FacfResult

Result of functional ACF/PACF estimation.

FplsrResult

Result of the functional PLS forecasting variant.

FtsmForecastResult

Result of an FPC-score-AR curve forecast.

FtsmResult

Result of fitting the FPCA-based functional time-series model.

LongRunCovResult

Result of the Bartlett kernel-sandwich long-run covariance estimator.

SpectralDensityResult

Result of the spectral density operator estimator.

StationarityResult

Result of the functional stationarity test.

Functions

dpca

Compute dynamic functional PCA (DPCA) from the spectral density operator.

dpca_reconstruct

Reconstruct curves from DPCA dynamic scores via inverse dynamic filtering.

fplsr

Functional PLS forecasting variant (a PLS-score alternative to FPC-score AR).

ftsm

Fit an FPCA-based functional time-series model over a time-ordered curve series.

ftsm_forecast

Forecast h-step-ahead curve(s) from a fitted FtsmResult.

ftsm_forecast_multistep

Iterative multi-step forecast: per-horizon forecast curves for h >= 1.

ftsm_update

Dynamically update a fitted FtsmResult as new observation(s) arrive, WITHOUT refitting the FPCA.

functional_acf

Functional autocorrelation and partial autocorrelation of a curve series.

functional_difference

Functional first-difference operator.

functional_pacf

Functional partial autocorrelation of a curve series.

long_run_covariance

Bartlett kernel-sandwich long-run covariance estimator.

spectral_density

Estimate the spectral density operator of a functional time series.

stationarity_test

Functional stationarity test (KPSS-style partial-sum statistic with Monte-Carlo p-value).