Nonstationarity in time series of state densities

DOI10.1016/j.jeconom.2015.06.025zbMath1419.62221OpenAlexW2184242162MaRDI QIDQ5964756

Yoosoon Chang, Joon Y. Park, Chang Sik Kim

Publication date: 1 March 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2015.06.025

zbMATH Keywords

unit rootnonstationaritystate densityfunctional principal component analysistime series of cross-sectional and intra-period distributions

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25) Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (11)

COINTEGRATION AND REPRESENTATION OF COINTEGRATED AUTOREGRESSIVE PROCESSES IN BANACH SPACES ⋮ INFERENCE ON THE DIMENSION OF THE NONSTATIONARY SUBSPACE IN FUNCTIONAL TIME SERIES ⋮ Functional principal component analysis for cointegrated functional time series ⋮ Nonstationary fractionally integrated functional time series ⋮ Cointegrated linear processes in Bayes Hilbert space ⋮ Trends in distributional characteristics: existence of global warming ⋮ Evaluating trends in time series of distributions: a spatial fingerprint of human effects on climate ⋮ A moment-based notion of time dependence for functional time series ⋮ REPRESENTATION OF I(1) AND I(2) AUTOREGRESSIVE HILBERTIAN PROCESSES ⋮ COINTEGRATION IN FUNCTIONAL AUTOREGRESSIVE PROCESSES ⋮ A general inversion theorem for cointegration

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• UNIFORM CONVERGENCE RATES FOR KERNEL ESTIMATION WITH DEPENDENT DATA
• ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS
• Convergence of stochastic processes

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