Local Whittle estimation of long‐range dependence for functional time series

DOI10.1111/JTSA.12577zbMath1476.62188OpenAlexW3112415927MaRDI QIDQ5012859

Han Lin Shang, Degui Li, Peter M. Robinson

Publication date: 25 November 2021

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12577

zbMATH Keywords

long-range dependenceperiodogramfunctional principal component analysisfunctional datalocal Whittle estimation

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Functional data analysis (62R10) Self-similar stochastic processes (60G18) Limit theorems for vector-valued random variables (infinite-dimensional case) (60B12)

Related Items (4)

On seasonal functional modeling under strong dependence, with applications to mechanically ventilated breathing activity ⋮ Sieve bootstrapping the memory parameter in long-range dependent stationary functional time series ⋮ Tempered functional time series ⋮ Nonstationary fractionally integrated functional time series

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