Asymptotic normality of the principal components of functional time series

DOI10.1016/J.SPA.2012.12.011zbMATH Open1275.62066OpenAlexW2152922867MaRDI QIDQ1947593FDOQ1947593

Authors Matthew Reimherr, Piotr Kokoszka 

Publication date 22 April 2013

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spa.2012.12.011

zbMATH Keywords

weak dependencefunctional principal componentsempirical covariance operators

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of functional analysis in probability theory and statistics (46N30)

Recommendations

• On the asymptotic normality of kernel estimators of the long run covariance of functional time series
• Principal components analysis of regularly varying functions
• Asymptotic theory for the principal component analysis of a vector random function: Some applications to statistical inference
• Weakly dependent functional data
• Principal components analysis of periodically correlated functional time series

Cited in

(29)

• A feasible central limit theorem for realised covariation of SPDEs in the context of functional data
• Inference for the lagged cross-covariance operator between functional time series
• Two-Sample Tests for Relevant Differences in the Eigenfunctions of Covariance Operators
• Asymptotic normality of spectral means of Hilbert space valued random processes
• Lagged covariance and cross-covariance operators of processes in Cartesian products of abstract Hilbert spaces
• Testing equality of autocovariance operators for functional time series
• Functional regression with repeated eigenvalues
• Frequency domain theory for functional time series: variance decomposition and an invariance principle
• Asymptotic properties of periodograms of weakly dependent functional processes
• Comments on ``Modular regression -- a Lego system for building structured additive distributional regression models with tensor product interactions
• Inferential procedures for partially observed functional data
• Conjugate processes: theory and application to risk forecasting
• Principal components analysis of regularly varying functions
• On convergence of sample and population Hilbertian functional principal components
• Extremes of projections of functional time series on data-driven basis systems
• Structural break analysis for spectrum and trace of covariance operators
• A geometric approach to confidence regions and bands for functional parameters
• Robust sieve M-estimation with an application to dimensionality reduction
• Simultaneous inference and uniform test for eigensystems of functional data
• Dependent functional data
• An introduction to functional data analysis and a principal component approach for testing the equality of mean curves
• Weakly dependent functional data
• Some asymptotic theory for Silverman's smoothed functional principal components in an abstract Hilbert space
• On the asymptotic normality of kernel estimators of the long run covariance of functional time series
• Local functional principal component analysis
• Asymptotic properties of principal component projections with repeated eigenvalues
• Principal component analysis of infinite variance functional data
• Statistical inference for the slope parameter in functional linear regression
• Factor models for high‐dimensional functional time series I: Representation results

This page was built for publication: Asymptotic normality of the principal components of functional time series

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1947593)