Functional principal component analysis for cointegrated functional time series

DOI10.1111/JTSA.12707MaRDI QIDQ6194053zbMATH OpenOpenAlexFDO

Authors Won-Ki Seo

Publication date 14 February 2024

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

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2011.12781

zbMATH Keywords

cointegrationfunctional principal component analysisfunctional time seriesunit roots

Mathematics Subject Classification ID

Inference from stochastic processes (62Mxx)

Abstract: Functional principal component analysis (FPCA) has played an important role in the development of functional time series analysis. This note investigates how FPCA can be used to analyze cointegrated functional time series and proposes a modification of FPCA as a novel statistical tool. Our modified FPCA not only provides an asymptotically more efficient estimator of the cointegrating vectors, but also leads to novel FPCA-based tests for examining essential properties of cointegrated functional time series.

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Cited in

(4)

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