White noise testing and model diagnostic checking for functional time series

DOI10.1016/j.jeconom.2016.04.004zbMath1431.62429OpenAlexW2186648004MaRDI QIDQ2630350

Xianyang Zhang

Publication date: 27 July 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2016.04.004

zbMATH Keywords

periodogramgoodness-of-fitblock bootstrapwhite noise testingfunctional linear modelsfunctional time seriesfunctional autoregressive modelsmodel diagnostic checkingspectra-based test

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Related Items

A Plug‐in Bandwidth Selection Procedure for Long‐Run Covariance Estimation with Stationary Functional Time Series, White noise testing for functional time series, Seasonal functional autoregressive models, A test for heteroscedasticity in functional linear models, Frequency domain theory for functional time series: variance decomposition and an invariance principle, A note on quadratic forms of stationary functional time series under mild conditions, Risk analysis of cumulative intraday return curves, Principal Component Analysis of Spatially Indexed Functions, Inference in functional factor models with applications to yield curves, Tempered functional time series, A portmanteau-type test for detecting serial correlation in locally stationary functional time series, A Simple Test for White Noise in Functional Time Series, Tests for conditional heteroscedasticity of functional data, Testing for periodicity in functional time series, Inference for the autocovariance of a functional time series under conditional heteroscedasticity, Extremes of projections of functional time series on data-driven basis systems, Functional time series model identification and diagnosis by means of auto- and partial autocorrelation analysis, Price signatures, Inference for the Lagged Cross‐Covariance Operator Between Functional Time Series

Uses Software

• FinTS
• freqdom.fda

Cites Work

• Portmanteau Test of Independence for Functional Observations
• Bootstrapping the Box-Pierce \(Q\) test: a robust test of uncorrelatedness
• Generalized spectral tests for the martingale difference hypothesis
• Fourier analysis of stationary time series in function space
• Test of independence for functional data
• Functional data analysis with increasing number of projections
• Inference for functional data with applications
• A bootstrapped spectral test for adequacy in weak ARMA models
• A bootstrap-assisted spectral test of white noise under unknown dependence
• Curve forecasting by functional autoregression
• Weakly dependent functional data
• Weak convergence in the functional autoregressive model
• Diagnostics for functional regression via residual processes
• Break detection in the covariance structure of multivariate time series models
• Time series: theory and methods.
• Subsampling
• Wavelet methods for continuous-time prediction using Hilbert-valued autoregressive processes
• Linear processes in function spaces. Theory and applications
• Spectral tests of the martingale hypothesis under conditional heteroscedasticity
• Cramér-Karhunen-Loève representation and harmonic principal component analysis of functional time series
• Autoregressive Forecasting of Some Functional Climatic Variations
• A FUNCTIONAL VERSION OF THE ARCH MODEL
• Inference For Autocorrelations Under Weak Assumptions
• TESTING FOR WHITE NOISE UNDER UNKNOWN DEPENDENCE AND ITS APPLICATIONS TO DIAGNOSTIC CHECKING FOR TIME SERIES MODELS
• TESTING FOR ZERO AUTOCORRELATION IN THE PRESENCE OF STATISTICAL DEPENDENCE
• Consistent Testing for Serial Correlation of Unknown Form
• Predictability of shapes of intraday price curves
• Tests for Error Correlation in the Functional Linear Model
• Dynamic Functional Principal Components
• Analysis of Financial Time Series
• Diagnostic Checking in ARMA Models With Uncorrelated Errors
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item