Fourier analysis of stationary time series in function space

DOI10.1214/13-AOS1086zbMath1267.62094arXiv1305.2073MaRDI QIDQ355089

Victor M. Panaretos, Shahin Tavakoli

Publication date: 24 July 2013

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1305.2073

zbMATH Keywords

cumulantsdiscrete Fourier transformweak dependencefunctional data analysisfunctional time seriesperiodogram operatorspectral density operator

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Inference from stochastic processes and spectral analysis (62M15) Numerical methods for discrete and fast Fourier transforms (65T50)

Related Items

Spatial Cox processes in an infinite-dimensional framework ⋮ A Plug‐in Bandwidth Selection Procedure for Long‐Run Covariance Estimation with Stationary Functional Time Series ⋮ Prediction theory for stationary functional time series ⋮ Finite sample theory for high-dimensional functional/scalar time series with applications ⋮ White noise testing and model diagnostic checking for functional time series ⋮ White noise testing for functional time series ⋮ Seasonal functional autoregressive models ⋮ A NONPARAMETRIC ESTIMATOR FOR THE COVARIANCE FUNCTION OF FUNCTIONAL DATA ⋮ Optimal eigen expansions and uniform bounds ⋮ Optimal dimension reduction for high-dimensional and functional time series ⋮ Fourier analysis of stationary time series in function space ⋮ Asymptotics for spherical functional autoregressions ⋮ Frequency domain theory for functional time series: variance decomposition and an invariance principle ⋮ A note on Herglotz's theorem for time series on function spaces ⋮ Sparsely observed functional time series: estimation and prediction ⋮ A note on quadratic forms of stationary functional time series under mild conditions ⋮ Two-Sample Tests for Relevant Differences in the Eigenfunctions of Covariance Operators ⋮ Principal Component Analysis of Spatially Indexed Functions ⋮ On seasonal functional modeling under strong dependence, with applications to mechanically ventilated breathing activity ⋮ Pivotal tests for relevant differences in the second order dynamics of functional time series ⋮ Sieve bootstrapping the memory parameter in long-range dependent stationary functional time series ⋮ KPSS test for functional time series ⋮ Bootstrap Prediction Bands for Functional Time Series ⋮ Tempered functional time series ⋮ Factor models for high‐dimensional functional time series I: Representation results ⋮ An autocovariance-based learning framework for high-dimensional functional time series ⋮ Functional data analysis with rough sample paths? ⋮ Higher‐Order Accurate Spectral Density Estimation of Functional Time Series ⋮ On the asymptotic normality of kernel estimators of the long run covariance of functional time series ⋮ Locally stationary functional time series ⋮ The Maximum of the Periodogram of a Sequence of Functional Data ⋮ Functional spherical autocorrelation: a robust estimate of the autocorrelation of a functional time series ⋮ A new approach for time domain analysis of multivariate and functional time series ⋮ Weakly stationary stochastic processes valued in a separable Hilbert space: Gramian-cramér representations and applications ⋮ A Simple Test for White Noise in Functional Time Series ⋮ Dependent functional data ⋮ Testing for stationarity of functional time series in the frequency domain ⋮ Cramér-Karhunen-Loève representation and harmonic principal component analysis of functional time series ⋮ Functional lagged regression with sparse noisy observations ⋮ A nonparametric test for stationarity in functional time series ⋮ SPHARMA approximations for stationary functional time series on the sphere ⋮ An innovations algorithm for the prediction of functional linear processes ⋮ Sieve bootstrap for functional time series ⋮ Testing for periodicity in functional time series ⋮ A comparison of Hurst exponent estimators in long-range dependent curve time series ⋮ Inference for the autocovariance of a functional time series under conditional heteroscedasticity ⋮ On the CLT for discrete Fourier transforms of functional time series ⋮ Testing stationarity of functional time series ⋮ Reconciling the Gaussian and Whittle likelihood with an application to estimation in the frequency domain ⋮ Bootstrapping covariance operators of functional time series ⋮ Inference for the Lagged Cross‐Covariance Operator Between Functional Time Series ⋮ A weak law of large numbers for realised covariation in a Hilbert space setting ⋮ Testing equality of spectral density operators for functional processes ⋮ Monitoring procedures for strict stationarity based on the multivariate characteristic function ⋮ Moving block and tapered block bootstrap for functional time series with an application to the \(K\)-sample mean problem ⋮ Detecting deviations from second-order stationarity in locally stationary functional time series ⋮ Clustering and forecasting multiple functional time series ⋮ Functional estimation of anisotropic covariance and autocovariance operators on the sphere ⋮ A moment-based notion of time dependence for functional time series ⋮ Estimation in Functional Lagged Regression ⋮ Local Whittle estimation of long‐range dependence for functional time series ⋮ On consistency and sparsity for high-dimensional functional time series with application to autoregressions ⋮ Spectral analysis of multifractional LRD functional time series

Uses Software

• fda (R)
• KernSmooth

Cites Work

• Portmanteau Test of Independence for Functional Observations
• Functional linear regression analysis for longitudinal data
• Fourier analysis of stationary time series in function space
• Inference for functional data with applications
• Nonparametric kernel regression estimation for functional stationary ergodic data: Asymptotic properties
• Asymptotic theory for the principal component analysis of a vector random function: Some applications to statistical inference
• Asymptotic normality, strong mixing and spectral density estimates
• Weakly dependent functional data
• Common functional principal components
• Testing the stability of the functional autoregressive process
• Robust principal component analysis for functional data. (With comments)
• Wavelet methods for continuous-time prediction using Hilbert-valued autoregressive processes
• Linear processes in function spaces. Theory and applications
• Estimation of mean and covariance operator of autoregressive processes in Banach spaces
• Kernel regression with functional response
• Central limit theorem for Fourier transforms of stationary processes
• Cramér-Karhunen-Loève representation and harmonic principal component analysis of functional time series
• Asymptotic spectral theory for nonlinear time series
• Functional data analysis.
• Nonparametric functional data analysis. Theory and practice.
• Estimation of mean and covariance operator for Banach space valued autoregressive processes with dependent innovations
• Dispersion operators and resistant second-order functional data analysis
• Assessing the Finite Dimensionality of Functional Data
• A Functional Wavelet–Kernel Approach for Time Series Prediction
• ASYMPTOTICS OF SPECTRAL DENSITY ESTIMATES
• Linear functional regression: The case of fixed design and functional response
• Nonparametric models for functional data, with application in regression, time series prediction and curve discrimination
• Testing the Equality of Covariance Operators in Functional Samples
• Second-Order Comparison of Gaussian Random Functions and the Geometry of DNA Minicircles
• Tests for Error Correlation in the Functional Linear Model
• Linear Regression Models for Functional Data
• Inference and Prediction in Large Dimensions
• On Properties of Functional Principal Components Analysis
• Time Series
• Convergence of stochastic processes
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item