Testing for stationarity of functional time series in the frequency domain
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Publication:2215748
DOI10.1214/19-AOS1895zbMATH Open1455.62230arXiv1701.01741MaRDI QIDQ2215748FDOQ2215748
Authors: Alexander Aue, Anne van Delft 
Publication date: 14 December 2020
Published in: The Annals of Statistics (Search for Journal in Brave)
Abstract: Interest in functional time series has spiked in the recent past with papers covering both methodology and applications being published at a much increased pace. This article contributes to the research in this area by proposing a new stationarity test for functional time series based on frequency domain methods. The proposed test statistics is based on joint dimension reduction via functional principal components analysis across the spectral density operators at all Fourier frequencies, explicitly allowing for frequency-dependent levels of truncation to adapt to the dynamics of the underlying functional time series. The properties of the test are derived both under the null hypothesis of stationary functional time series and under the smooth alternative of locally stationary functional time series. The methodology is theoretically justified through asymptotic results. Evidence from simulation studies and an application to annual temperature curves suggests that the test works well in finite samples.
Full work available at URL: https://arxiv.org/abs/1701.01741
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functional data analysisspectral analysislocally stationary processesfrequency domain methodsannual temperature curve
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to environmental and related topics (62P12) Inference from stochastic processes and spectral analysis (62M15) Applications of statistics to physics (62P35) Functional data analysis (62R10)
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Cited In (32)
- Asymptotic normality of spectral means of Hilbert space valued random processes
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- Graphical models for nonstationary time series
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- White noise testing for functional time series
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- A nonparametric test for stationarity in functional time series
- Two-Sample Tests for Relevant Differences in the Eigenfunctions of Covariance Operators
- Testing trend stationarity of functional time series with application to yield and daily price curves
- Change-point analysis of time series with evolutionary spectra
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- Statistical analysis of irregularly spaced spatial data in frequency domain
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