A similarity measure for second order properties of non-stationary functional time series with applications to clustering and testing (Q2214256): Difference between revisions

This paper develops a similarity measure for spectral density operators of a collection of functional time series, based on the aggregation of Hilbert-Schmidt differences of the individual time-varying spectral density operators. Under fairly general conditions, the asymptotic properties of the corresponding estimator are derived and asymptotic normality is established. Applications are given to clustering and testing.