A nonparametric test for stationarity in functional time series

DOI10.5705/SS.202018.0320zbMATH Open1475.62291arXiv1708.05248OpenAlexW2748422149MaRDI QIDQ5155192FDOQ5155192

Authors: Anne van Delft, Vaidotas Characiejus, Holger Dette 

Publication date: 6 October 2021

Published in: STATISTICA SINICA (Search for Journal in Brave)

Abstract: We propose a new measure for stationarity of a functional time series, which is based on an explicit representation of the $L^2$-distance between the spectral density operator of a non-stationary process and its best ($L^2$-)approximation by a spectral density operator corresponding to a stationary process. This distance can easily be estimated by sums of Hilbert-Schmidt inner products of periodogram operators (evaluated at different frequencies), and asymptotic normality of an appropriately standardized version of the estimator can be established for the corresponding estimate under the null hypothesis and alternative. As a result we obtain a simple asymptotic frequency domain level $alpha$ test (using the quantiles of the normal distribution) for the hypothesis of stationarity of functional time series. Other applications such as asymptotic confidence intervals for a measure of stationarity or the construction of tests for "relevant deviations from stationarity", are also briefly mentioned. We demonstrate in a small simulation study that the new method has very good finite sample properties. Moreover, we apply our test to annual temperature curves.

Full work available at URL: https://arxiv.org/abs/1708.05248

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zbMATH Keywords

functional datatime serieslocal stationarityspectral analysisrelevant hypothesesmeasuring stationarity

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) 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 (28)

• The Maximum of the Periodogram of a Sequence of Functional Data
• A measure of stationarity in locally stationary processes with applications to testing
• Testing stationarity of functional time series
• Detecting trends in time series of functional data: a study of antarctic climate change
• Non-Parametric Testing of Conditional Variance Functions in Time Series
• A simple test for white noise in functional time series
• Testing trend stationarity of functional time series with application to yield and daily price curves
• Nonparametric functionals of spectral distributions and their applications to time series analy\-sis
• Improvement of the nonparametric estimation of functional stationary time series using Yeo-Johnson transformation with application to temperature curves
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• On distributional autoregression and iterated transportation
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• Nonparametric pseudo-Lagrange multiplier stationarity testing
• A note on Herglotz's theorem for time series on function spaces
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• Testing for stationarity of functional time series in the frequency domain
• Detecting deviations from second-order stationarity in locally stationary functional time series
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• Lagged covariance and cross-covariance operators of processes in Cartesian products of abstract Hilbert spaces
• Testing temporal constancy of the spectral structure of a time series
• A similarity measure for second order properties of non-stationary functional time series with applications to clustering and testing

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