A similarity measure for second order properties of non-stationary functional time series with applications to clustering and testing

DOI10.3150/20-BEJ1246zbMath1477.62255arXiv1810.08292MaRDI QIDQ2214256

Dette, Holger, Anne van Delft

Publication date: 7 December 2020

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1810.08292

zbMATH Keywords

similarity measure; functional time series; non-stationary

Mathematics Subject Classification ID

62G10: Nonparametric hypothesis testing

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62R10: Functional data analysis

62H30: Classification and discrimination; cluster analysis (statistical aspects)

62M15: Inference from stochastic processes and spectral analysis

Uses Software

• SLEX
• NbClust
• clusfind