KPSS test for functional time series
From MaRDI portal
Publication:2953440
DOI10.1080/02331888.2015.1128937zbMath1440.62333OpenAlexW2470119859MaRDI QIDQ2953440
Gabriel Young, Piotr S. Kokoszka
Publication date: 4 January 2017
Published in: Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/02331888.2015.1128937
Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Functional data analysis (62R10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Related Items (5)
A spatial-type interval-valued median for random intervals ⋮ INFERENCE ON THE DIMENSION OF THE NONSTATIONARY SUBSPACE IN FUNCTIONAL TIME SERIES ⋮ On the asymptotic normality of kernel estimators of the long run covariance of functional time series ⋮ Functional principal component analysis for cointegrated functional time series ⋮ A bootstrap-based KPSS test for functional time series
Cites Work
- Unnamed Item
- Unnamed Item
- A robust version of the KPSS test based on indicators
- Fourier analysis of stationary time series in function space
- Inference for functional data with applications
- Adaptive dynamic Nelson-Siegel term structure model with applications
- Split invariance principles for stationary processes
- Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
- Functional dynamic factor models with application to yield curve forecasting
- Functional data analysis for volatility
- Curve forecasting by functional autoregression
- Weakly dependent functional data
- Testing the stability of the functional autoregressive process
- Properties of sequences of partial sums of polynomial regression residuals with applications to tests for change of regression at unknown times
- Rescaled variance and related tests for long memory in volatility and levels
- On the power of the KPSS test of stationarity against fractionally-integrated alternatives
- Weak invariance principles for sums of dependent random functions
- A test for second order stationarity of a multivariate time series
- Asymptotic spectral theory for nonlinear time series
- Testing stationarity of functional time series
- Determining the order of the functional autoregressive model
- A Functional Wavelet–Kernel Approach for Time Series Prediction
- Testing for unit roots in autoregressive-moving average models of unknown order
- Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
- Long-Term Memory in Stock Market Prices
- Theoretical Foundations of Functional Data Analysis, with an Introduction to Linear Operators
- On the Prediction of Stationary Functional Time Series
This page was built for publication: KPSS test for functional time series
