Inference for the autocovariance of a functional time series under conditional heteroscedasticity
From MaRDI portal
Publication:91428
DOI10.1016/J.JMVA.2017.08.004zbMath1378.62073OpenAlexW2755085875MaRDI QIDQ91428
Piotr S. Kokoszka, Gregory Rice, Han Lin Shang, Gregory Rice, Han Lin Shang, Piotr S. Kokoszka
Publication date: November 2017
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/1885/139056
Related Items (16)
White noise testing for functional time series ⋮ Intra-day co-movements of crude oil futures: China and the international benchmarks ⋮ Risk analysis of cumulative intraday return curves ⋮ Sieve bootstrapping the memory parameter in long-range dependent stationary functional time series ⋮ Bootstrap Prediction Bands for Functional Time Series ⋮ A portmanteau-type test for detecting serial correlation in locally stationary functional time series ⋮ Functional spherical autocorrelation: a robust estimate of the autocorrelation of a functional time series ⋮ Long-Range Dependent Curve Time Series ⋮ Functional ARCH and GARCH models: a Yule-Walker approach ⋮ Tests for conditional heteroscedasticity of functional data ⋮ High-dimensional functional time series forecasting: an application to age-specific mortality rates ⋮ Functional time series model identification and diagnosis by means of auto- and partial autocorrelation analysis ⋮ Intraday forecasts of a volatility index: functional time series methods with dynamic updating ⋮ Change point analysis of covariance functions: a weighted cumulative sum approach ⋮ Lagged covariance and cross-covariance operators of processes in Cartesian products of abstract Hilbert spaces ⋮ wwntests
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Portmanteau Test of Independence for Functional Observations
- Fourier analysis of stationary time series in function space
- Inference for functional data with applications
- An innovations algorithm for the prediction of functional linear processes
- Split invariance principles for stationary processes
- On the CLT for discrete Fourier transforms of functional time series
- Curve forecasting by functional autoregression
- Weakly dependent functional data
- Testing for multivariate autoregressive conditional heteroskedasticity using wavelets
- Break detection in the covariance structure of multivariate time series models
- ARCH models and financial applications
- Adaptive bandwidth selection in the long run covariance estimator of functional time series
- Generalized autoregressive conditional heteroscedasticity
- Two sample inference for the second-order property of temporally dependent functional data
- On weak invariance principles for sums of dependent random functionals
- Asymptotic spectral theory for nonlinear time series
- White noise testing and model diagnostic checking for functional time series
- Modified Normal-based Approximation to the Percentiles of Linear Combination of Independent Random Variables with Applications
- A FUNCTIONAL VERSION OF THE ARCH MODEL
- Improved multivariate portmanteau test
- Functional Generalized Autoregressive Conditional Heteroskedasticity
- Inference For Autocorrelations Under Weak Assumptions
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Residual‐based diagnostics for conditional heteroscedasticity models
- A family of minimax rates for density estimators in continuous time
- Introduction to Functional Data Analysis
- Predictability of shapes of intraday price curves
- Nonlinear system theory: Another look at dependence
- Diagnostic Checking in ARMA Models With Uncorrelated Errors
This page was built for publication: Inference for the autocovariance of a functional time series under conditional heteroscedasticity
