Testing for periodicity in functional time series
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Publication:1991685
DOI10.1214/17-AOS1645zbMATH Open1416.62496arXiv1607.02017MaRDI QIDQ1991685FDOQ1991685
Authors: Siegfried Hörmann, Gilles Nisol, Piotr Kokoszka 
Publication date: 30 October 2018
Published in: The Annals of Statistics (Search for Journal in Brave)
Abstract: We derive several tests for the presence of a periodic component in a time series of functions. We consider both the traditional setting in which the periodic functional signal is contaminated by functional white noise, and a more general setting of a contaminating process which is weakly dependent. Several forms of the periodic component are considered. Our tests are motivated by the likelihood principle and fall into two broad categories, which we term multivariate and fully functional. Overall, for the functional series that motivate this research, the fully functional tests exhibit a superior balance of size and power. Asymptotic null distributions of all tests are derived and their consistency is established. Their finite sample performance is examined and compared by numerical studies and application to pollution data.
Full work available at URL: https://arxiv.org/abs/1607.02017
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Cited In (24)
- Frequency domain theory for functional time series: variance decomposition and an invariance principle
- The Maximum of the Periodogram of a Sequence of Functional Data
- Testing for Periodicity in a Time Series
- Quantifying the risk of heat waves using extreme value theory and spatio-temporal functional data
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