A bootstrap-based KPSS test for functional time series

DOI10.1016/J.JMVA.2019.104535zbMath1428.62387OpenAlexW2964206246MaRDI QIDQ2008226

Yi-Chao Chen, Chi Seng Pun

Publication date: 22 November 2019

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2019.104535

zbMATH Keywords

bootstrapfunctional time seriesmoving block bootstrapasymptotic validitybootstrap validity on averageKwiatkowski-Phillips-Schmidt-Shin (KPSS) tests

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Functional limit theorems; invariance principles (60F17) Inference from stochastic processes and fuzziness (62M86)

Uses Software

• fda (R)
• bootstrap
• freqdom.fda

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Modeling and forecasting electricity spot prices: a functional data perspective
• Inference for functional data with applications
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Curve forecasting by functional autoregression
• Weakly dependent functional data
• Common functional principal components
• On the use of the bootstrap for estimating functions with functional data
• Testing the stability of the functional autoregressive process
• Bootstrap methods: another look at the jackknife
• Linear processes in function spaces. Theory and applications
• Bootstrap methods for stationary functional time series
• Theoretical comparisons of block bootstrap methods
• The jackknife and the bootstrap for general stationary observations
• On the power of the KPSS test of stationarity against fractionally-integrated alternatives
• Weak invariance principles for sums of dependent random functions
• Sieve bootstrap for functional time series
• Testing for periodicity in functional time series
• Moving block and tapered block bootstrap for functional time series with an application to the \(K\)-sample mean problem
• Bootstrap unit root tests in panels with cross-sectional dependency
• Functional data analysis.
• Testing stationarity of functional time series
• Determining the order of the functional autoregressive model
• KPSS test for functional time series
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Automatic Block-Length Selection for the Dependent Bootstrap
• A Sieve Bootstrap For The Test Of A Unit Root
• Testing Normality of Functional Time Series
• Forecasting intraday S&P 500 index returns: A functional time series approach
• AN INVARIANCE PRINCIPLE FOR SIEVE BOOTSTRAP IN TIME SERIES
• Detecting and Dating Structural Breaks in Functional Data Without Dimension Reduction
• Estimation of the Mean of Functional Time Series and a Two-Sample Problem
• Tests for Error Correlation in the Functional Linear Model
• On the Prediction of Stationary Functional Time Series
• Dynamic Functional Principal Components
• Bootstrap-based testing of equality of mean functions or equality of covariance operators for functional data
• OUP accepted manuscript

This page was built for publication: A bootstrap-based KPSS test for functional time series