A note on Herglotz's theorem for time series on function spaces

DOI10.1016/J.SPA.2019.10.006zbMATH Open1462.60041arXiv1801.04262OpenAlexW2782603730MaRDI QIDQ2175334FDOQ2175334

Michael Eichler, Anne van Delft

Publication date: 29 April 2020

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: In this article, we prove Herglotz's theorem for Hilbert-valued time series. This requires the notion of an operator-valued measure, which we shall make precise for our setting. Herglotz's theorem for functional time series allows to generalize existing results that are central to frequency domain analysis on the function space. In particular, we use this result to prove the existence of a functional Cram{'e}r representation of a large class of processes, including those with jumps in the spectral distribution and long-memory processes. We furthermore obtain an optimal finite dimensional reduction of the time series under weaker assumptions than available in the literature. The results of this paper therefore enable Fourier analysis for processes of which the spectral density operator does not necessarily exist.

Full work available at URL: https://arxiv.org/abs/1801.04262

zbMATH Keywords

functional data analysistime seriesspectral analysis

Mathematics Subject Classification ID

Inference from stochastic processes and spectral analysis (62M15) Functional data analysis (62R10) Stationary stochastic processes (60G10)

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Cited In (10)

• Asymptotic normality of spectral means of Hilbert space valued random processes
• Tempered functional time series
• Frequency domain theory for functional time series: variance decomposition and an invariance principle
• Tangent fields, intrinsic stationarity, and self similarity
• Prediction theory for stationary functional time series
• Reconciling the Gaussian and Whittle likelihood with an application to estimation in the frequency domain
• Weakly stationary stochastic processes valued in a separable Hilbert space: Gramian-cramér representations and applications
• Pivotal tests for relevant differences in the second order dynamics of functional time series
• Testing for stationarity of functional time series in the frequency domain
• SPHARMA approximations for stationary functional time series on the sphere

Uses Software

• freqdom.fda

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