Testing stationarity of functional time series

DOI10.1016/j.jeconom.2013.11.002zbMath1293.62186OpenAlexW1971798955MaRDI QIDQ2512639

Lajos Horváth, Gregory Rice, Piotr S. Kokoszka

Publication date: 7 August 2014

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2013.11.002

zbMATH Keywords

integrated time seriesfunctional datachange pointtest of stationarityintraday price curves

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Economic time series analysis (91B84)

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Uses Software

• fda (R)
• freqdom.fda

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