Not all long-memory estimators are born equal: the case of nonstationary functional time series

DOI10.1002/CJS.11652MaRDI QIDQ5094301zbMATH OpenOpenAlexFDO

Authors Han Lin Shang

Publication date 2 August 2022

Published in The Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/cjs.11652

zbMATH Keywords

dynamic functional principal component analysisfunctional autoregressive fractionally integrated moving averagelong-range dependencelong-run covariancenonstationary curve process

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Functional data analysis (62R10)

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(5)

• Long memory estimation for complex-valued time series
• Not all estimators are born equal: the empirical properties of some estimators of long memory
• A comparison of Hurst exponent estimators in long-range dependent curve time series
• Fractionally integrated curve time series with cointegration
• Modeling nonstationary time series using locally stationary basis processes

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