Testing for stationarity of functional time series in the frequency domain
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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.
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Cited in
(32)- Asymptotic normality of spectral means of Hilbert space valued random processes
- Frequency domain theory for functional time series: variance decomposition and an invariance principle
- Graphical models for nonstationary time series
- Testing stationarity of functional time series
- White noise testing for functional time series
- Functional principal component analysis for cointegrated functional time series
- A nonparametric test for stationarity in functional time series
- Testing trend stationarity of functional time series with application to yield and daily price curves
- Two-Sample Tests for Relevant Differences in the Eigenfunctions of Covariance Operators
- Nonparametric regression for locally stationary functional time series
- Prediction theory for stationary functional time series
- Testing Relevant Hypotheses in Functional Time Series via Self-Normalization
- Change-point analysis of time series with evolutionary spectra
- On distributional autoregression and iterated transportation
- Statistical analysis of irregularly spaced spatial data in frequency domain
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- A Frequency Domain Test for Propriety of Complex-Valued Vector Time Series
- Locally stationary functional time series
- Lagged covariance and cross-covariance operators of processes in Cartesian products of abstract Hilbert spaces
- A similarity measure for second order properties of non-stationary functional time series with applications to clustering and testing
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- Functional time series forecasting: functional singular spectrum analysis approaches
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