A similarity measure for second order properties of non-stationary functional time series with applications to clustering and testing

DOI10.3150/20-BEJ1246zbMath1477.62255arXiv1810.08292OpenAlexW3108749145MaRDI QIDQ2214256

Anne van Delft, Dette, Holger

Publication date: 7 December 2020

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1810.08292

zbMATH Keywords

similarity measurefunctional time seriesnon-stationary

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Functional data analysis (62R10) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Inference from stochastic processes and spectral analysis (62M15)

Related Items (4)

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 ⋮ Lagged covariance and cross-covariance operators of processes in Cartesian products of abstract Hilbert spaces

Uses Software

• SLEX
• NbClust
• clusfind

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