Not all long‐memory estimators are born equal: The case of nonstationary functional time series

DOI10.1002/CJS.11652zbMath1492.62138OpenAlexW3195814863MaRDI QIDQ5094301

Han Lin Shang

Publication date: 2 August 2022

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

Full work available at URL: https://doi.org/10.1002/cjs.11652

zbMATH Keywords

long-range dependencelong-run covariancedynamic functional principal component analysisfunctional autoregressive fractionally integrated moving averagenonstationary curve process

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Functional data analysis (62R10) Inference from stochastic processes and spectral analysis (62M15)

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