Nonstationary fractionally integrated functional time series

DOI10.3150/22-BEJ1508MaRDI QIDQ2692545

Degui Li, Han Lin Shang, Peter M. Robinson

Publication date: 22 March 2023

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/journals/bernoulli/volume-29/issue-2/Nonstationary-fractionally-integrated-functional-time-series/10.3150/22-BEJ1508.full

zbMATH Keywords

fractional integrationnonstationary processfunctional principal component analysisfunctional time serieslocal Whittle estimation

Mathematics Subject Classification ID

Inference from stochastic processes (62Mxx) Multivariate analysis (62Hxx) Nonparametric inference (62Gxx)

Related Items

Sieve bootstrapping the memory parameter in long-range dependent stationary functional time series, Functional principal component analysis for cointegrated functional time series

Uses Software

• fda (R)

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