A similarity measure for second order properties of non-stationary functional time series with applications to clustering and testing (Q2214256): Difference between revisions
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scientific article
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| English | A similarity measure for second order properties of non-stationary functional time series with applications to clustering and testing |
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A similarity measure for second order properties of non-stationary functional time series with applications to clustering and testing (English)
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7 December 2020
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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.
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non-stationary
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functional time series
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similarity measure
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