Sieve bootstrap for functional time series
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Publication:1990591
DOI10.1214/17-AOS1667zbMATH Open1420.62392arXiv1609.06029OpenAlexW2963256730MaRDI QIDQ1990591FDOQ1990591
Authors: Efstathios Paparoditis 
Publication date: 25 October 2018
Published in: The Annals of Statistics (Search for Journal in Brave)
Abstract: A bootstrap procedure for functional time series is proposed which exploits a general vector autoregressive representation of the time series of Fourier coefficients appearing in the Karhunen-Lo`eve expansion of the functional process. A double sieve-type bootstrap method is developed which avoids the estimation of process operators and generates functional pseudo-time series that appropriately mimic the dependence structure of the functional time series at hand. The method uses a finite set of functional principal components to capture the essential driving parts of the infinite dimensional process and a finite order vector autoregressive process to imitate the temporal dependence structure of the corresponding vector time series of Fourier coefficients. By allowing the number of functional principal components as well as the autoregressive order used to increase to infinity (at some appropriate rate) as the sample size increases, a basic bootstrap central limit theorem is established which shows validity of the bootstrap procedure proposed for functional finite Fourier transforms. Some numerical examples illustrate the good finite sample performance of the new bootstrap method proposed.
Full work available at URL: https://arxiv.org/abs/1609.06029
Recommendations
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09) Inference from stochastic processes and spectral analysis (62M15)
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Cited In (15)
- Functional GARCH models: the quasi-likelihood approach and its applications
- Moving block and tapered block bootstrap for functional time series with an application to the \(K\)-sample mean problem
- Convolutional autoregressive models for functional time series
- Bootstrapping covariance operators of functional time series
- Sieve bootstrapping the memory parameter in long-range dependent stationary functional time series
- Fractionally integrated curve time series with cointegration
- AN INVARIANCE PRINCIPLE FOR SIEVE BOOTSTRAP IN TIME SERIES
- Testing equality of spectral density operators for functional processes
- Sieve bootstrap for smoothing in nonstationary time series
- Double bootstrapping for visualizing the distribution of descriptive statistics of functional data
- A bootstrap-based KPSS test for functional time series
- Principal Component Analysis of Spatially Indexed Functions
- Bootstrap Prediction Bands for Functional Time Series
- Bootstrap methods for stationary functional time series
- Nonlinear autoregressive sieve bootstrap based on extreme learning machines
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