Fourier analysis of stationary time series in function space

DOI10.1214/13-AOS1086zbMATH Open1267.62094arXiv1305.2073MaRDI QIDQ355089FDOQ355089

Victor M. Panaretos, Shahin Tavakoli

Publication date: 24 July 2013

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

Abstract: We develop the basic building blocks of a frequency domain framework for drawing statistical inferences on the second-order structure of a stationary sequence of functional data. The key element in such a context is the spectral density operator, which generalises the notion of a spectral density matrix to the functional setting, and characterises the second-order dynamics of the process. Our main tool is the functional Discrete Fourier Transform (fDFT). We derive an asymptotic Gaussian representation of the fDFT, thus allowing the transformation of the original collection of dependent random functions into a collection of approximately independent complex-valued Gaussian random functions. Our results are then employed in order to construct estimators of the spectral density operator based on smoothed versions of the periodogram kernel, the functional generalisation of the periodogram matrix. The consistency and asymptotic law of these estimators are studied in detail. As immediate consequences, we obtain central limit theorems for the mean and the long-run covariance operator of a stationary functional time series. Our results do not depend on structural modelling assumptions, but only functional versions of classical cumulant mixing conditions, and are shown to be stable under discrete observation of the individual curves.

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

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zbMATH Keywords

functional data analysisweak dependencefunctional time seriesdiscrete Fourier transformcumulantsperiodogram 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)

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Uses Software

• fda (R)
• KernSmooth

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