A bootstrap-based KPSS test for functional time series

DOI10.1016/J.JMVA.2019.104535MaRDI QIDQ2008226zbMATH OpenOpenAlexFDO

Authors Yichao 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

asymptotic validitybootstrapbootstrap validity on averagefunctional time seriesKwiatkowski-Phillips-Schmidt-Shin (KPSS) testsmoving block bootstrap

Mathematics Subject Classification ID

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

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Cites work

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Cited in

(4)

• On the power transformation of kernel-based tests for serial correlation in vector time series: some finite sample results and a comparison with the bootstrap
• KPSS test for functional time series
• Bootstrapping covariance operators of functional time series
• Simultaneous predictive bands for functional time series using minimum entropy sets

Describes a project that uses

Uses Software

• fda (R)
• freqdom.fda
• bootstrap

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