Detecting a structural change in functional time series using local Wilcoxon statistic

DOI10.1007/S00362-017-0891-YzbMATH Open1432.62303arXiv1604.03776OpenAlexW3104964118MaRDI QIDQ2010820FDOQ2010820

Authors: Daniel Kosiorowski, Jerzy P. Rydlewski, Małgorzata Snarska 

Publication date: 28 November 2019

Published in: Statistical Papers (Search for Journal in Brave)

Abstract: Functional data analysis (FDA) is a part of modern multivariate statistics that analyses data providing information about curves, surfaces or anything else varying over a certain continuum. In economics and empirical finance we often have to deal with time series of functional data, where we cannot easily decide, whether they are to be considered as homogeneous or heterogeneous. At present a discussion on adequate tests of homogenity for functional data is carried. We propose a novel statistic for detetecting a structural change in functional time series based on a local Wilcoxon statistic induced by a local depth function proposed by Paindaveine and Van Bever (2013).

Full work available at URL: https://arxiv.org/abs/1604.03776

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zbMATH Keywords

functional data analysisWilcoxon testfunctional depthlocal depthdetecting structural changeheterogenity

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Hypothesis testing in multivariate analysis (62H15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Order statistics; empirical distribution functions (62G30)

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Cited In (4)

• Local Fourier tests for structural change based on residuals
• A note on repeated measures analysis for functional data
• New metrics and approaches for predicting bankruptcy
• Time Series Forecasting Using Range Regression Automata

Uses Software

• Rainbow
• fda (R)
• hdrcde
• meboot
• fda.usc
• DepthProc

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