Locally stationary functional time series

DOI10.1214/17-EJS1384zbMath1473.62317arXiv1602.05125MaRDI QIDQ1697469

Anne van Delft, Michael Eichler

Publication date: 20 February 2018

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1602.05125

zbMATH Keywords

spectral analysislocally stationary processeskernel estimatorfunctional data analysis

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Functional data analysis (62R10) Inference from stochastic processes and spectral analysis (62M15)

Related Items (16)

White noise testing for functional time series ⋮ Nonparametric regression for locally stationary functional time series ⋮ A note on Herglotz's theorem for time series on function spaces ⋮ A note on quadratic forms of stationary functional time series under mild conditions ⋮ Pivotal tests for relevant differences in the second order dynamics of functional time series ⋮ Factor models for high‐dimensional functional time series I: Representation results ⋮ A portmanteau-type test for detecting serial correlation in locally stationary functional time series ⋮ Locally stationary functional time series ⋮ Weakly stationary stochastic processes valued in a separable Hilbert space: Gramian-cramér representations and applications ⋮ A similarity measure for second order properties of non-stationary functional time series with applications to clustering and testing ⋮ Testing for stationarity of functional time series in the frequency domain ⋮ Functional GARCH models: the quasi-likelihood approach and its applications ⋮ A nonparametric test for stationarity in functional time series ⋮ Monitoring procedures for strict stationarity based on the multivariate characteristic function ⋮ Detecting deviations from second-order stationarity in locally stationary functional time series ⋮ Lagged covariance and cross-covariance operators of processes in Cartesian products of abstract Hilbert spaces

Uses Software

• fda (R)
• freqdom.fda

Cites Work

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