Testing equality of autocovariance operators for functional time series

DOI10.1111/JTSA.12523zbMATH Open1450.62139arXiv1901.08535OpenAlexW3014711051MaRDI QIDQ5121012FDOQ5121012

Authors: Dimitrios Pilavakis, Efstathios Paparoditis, Theofanis Sapatinas 

Publication date: 16 September 2020

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

Abstract: We consider strictly stationary stochastic processes of Hilbert space-valued random variables and focus on fully functional tests for the equality of the lag-zero autocovariance operators of several independent functional time series. A moving block bootstrap-based testing procedure is proposed which generates pseudo random elements that satisfy the null hypothesis of interest. It is based on directly bootstrapping the time series of tensor products which overcomes some common difficulties associated with applications of the bootstrap to related testing problems. The suggested methodology can be potentially applied to a broad range of test statistics of the hypotheses of interest. As an example, we establish validity for approximating the distribution under the null of a test statistic based on the Hilbert-Schmidt distance of the corresponding sample lag-zero autocovariance operators, and show consistency under the alternative. As a prerequisite, we prove a central limit theorem for the moving block bootstrap procedure applied to the sample autocovariance operator which is of interest on its own. The finite sample size and power performance of the suggested moving block bootstrap-based testing procedure is illustrated through simulations and an application to a real-life dataset is discussed.

Full work available at URL: https://arxiv.org/abs/1901.08535

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zbMATH Keywords

hypothesis testingfunctional time seriesmoving block bootstrapautocovariance operator

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Functional data analysis (62R10) Stationary stochastic processes (60G10)

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Cited In (8)

• Detecting relevant differences in the covariance operators of functional time series: a sup-norm approach
• Bootstrap-based testing of equality of mean functions or equality of covariance operators for functional data
• Moving block and tapered block bootstrap for functional time series with an application to the \(K\)-sample mean problem
• Testing Relevant Hypotheses in Functional Time Series via Self-Normalization
• Inference for the lagged cross-covariance operator between functional time series
• Pivotal tests for relevant differences in the second order dynamics of functional time series
• Testing equality of spectral density operators for functional processes
• Inference for the autocovariance of a functional time series under conditional heteroscedasticity

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