Higher-order accurate spectral density estimation of functional time series

DOI10.1111/JTSA.12473zbMATH Open1442.62207arXiv1812.03240OpenAlexW2963164366WikidataQ127900190 ScholiaQ127900190MaRDI QIDQ5111775FDOQ5111775

Tingyi Zhu, Dimitris Politis

Publication date: 27 May 2020

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Abstract: Under the frequency domain framework for weakly dependent functional time series, a key element is the spectral density kernel which encapsulates the second-order dynamics of the process. We propose a class of spectral density kernel estimators based on the notion of a flat-top kernel. The new class of estimators employs the inverse Fourier transform of a flat-top function as the weight function employed to smooth the periodogram. It is shown that using a flat-top kernel yields a bias reduction and results in a higher-order accuracy in terms of optimizing the integrated mean square error (IMSE). Notably, the higher-order accuracy of flat-top estimation comes at the sacrifice of the positive semi-definite property. Nevertheless, we show how a flat-top estimator can be modified to become positive semi-definite (even strictly positive definite) in finite samples while retaining its favorable asymptotic properties. In addition, we introduce a data-driven bandwidth selection procedure realized by an automatic inspection of the estimated correlation structure. Our asymptotic results are complemented by a finite-sample simulation where the higher-order accuracy of flat-top estimators is manifested in practice.

Full work available at URL: https://arxiv.org/abs/1812.03240

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zbMATH Keywords

functional time seriesspectral density estimationpositive semi-definite estimationflat-top kernelspectral density kernel

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12) Inference from stochastic processes and spectral analysis (62M15) Functional data analysis (62R10)

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Cited In (1)

• Higher-order approximations for frequency domain time series regression

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