Testing trend stationarity of functional time series with application to yield and daily price curves

DOI10.4310/SII.2017.V10.N1.A8MaRDI QIDQ1748622zbMATH OpenOpenAlexFDO

Authors Gabriel Young, Piotr Kokoszka

Publication date 14 May 2018

Published in Statistics and Its Interface (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4310/sii.2017.v10.n1.a8

zbMATH Keywords

functional datarandom walkintegrated time seriesdaily price curves

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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• Testing stationarity of functional time series
• Detecting trends in time series of functional data: a study of antarctic climate change
• Change point tests in functional factor models with application to yield curves
• Testing Distributions of Stochastically Generated Yield Curves
• Nonparametric trend estimation in functional time series with application to annual mortality rates

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