Identifying the finite dimensionality of curve time series

DOI10.1214/10-AOS819zbMATH Open1204.62152arXiv1211.2522MaRDI QIDQ620552FDOQ620552

Qiwei Yao, Flavio Augusto Ziegelmann, N. Bathia

Publication date: 19 January 2011

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

Abstract: The curve time series framework provides a convenient vehicle to accommodate some nonstationary features into a stationary setup. We propose a new method to identify the dimensionality of curve time series based on the dynamical dependence across different curves. The practical implementation of our method boils down to an eigenanalysis of a finite-dimensional matrix. Furthermore, the determination of the dimensionality is equivalent to the identification of the nonzero eigenvalues of the matrix, which we carry out in terms of some bootstrap tests. Asymptotic properties of the proposed method are investigated. In particular, our estimators for zero-eigenvalues enjoy the fast convergence rate n while the estimators for nonzero eigenvalues converge at the standard $sqrtn$-rate. The proposed methodology is illustrated with both simulated and real data sets.

Full work available at URL: https://arxiv.org/abs/1211.2522

zbMATH Keywords

dimension reductionautocovarianceeigenanalysis[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=Karhunen-Lo%EF%BF%BD%EF%BF%BDve+expansion&go=Go Karhunen-Lo��ve expansion]\(n\) convergence ratecurve time seriesroot-\(n\) convergence rate

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Multivariate analysis (62H99) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09) Eigenvalues, singular values, and eigenvectors (15A18) Stochastic processes (60G99)

Cites Work

• Functional data analysis.
• Nonparametric functional data analysis. Theory and practice.
• Robust forecasting of mortality and fertility rates: a functional data approach
• Linear processes in function spaces. Theory and applications
• Title not available (Why is that?)
• Modelling multiple time series via common factors
• Identifying a Simplifying Structure in Time Series
• Title not available (Why is that?)
• Title not available (Why is that?)
• Asymptotic theory for the principal component analysis of a vector random function: Some applications to statistical inference
• Principal components analysis of sampled functions
• Title not available (Why is that?)
• Inference for Density Families Using Functional Principal Component Analysis
• Title not available (Why is that?)
• Bivariate splines for spatial functional regression models
• Title not available (Why is that?)
• Common functional principal components
• Assessing the Finite Dimensionality of Functional Data
• Title not available (Why is that?)
• Limiting behavior of regular functionals of empirical distributions for stationary *-mixing processes

Cited In (35)

• Conditional estimation for dependent functional data
• Conjugate processes: theory and application to risk forecasting
• Long-Range Dependent Curve Time Series
• Krigings over space and time based on latent low-dimensional structures
• A survey of functional principal component analysis
• Factor modeling of multivariate time series: a frequency components approach
• Testing for the rank of a covariance operator
• Dependent functional data
• An autocovariance-based learning framework for high-dimensional functional time series
• Dynamic functional data analysis with non-parametric state space models
• On consistency and sparsity for high-dimensional functional time series with application to autoregressions
• Finite sample theory for high-dimensional functional/scalar time series with applications
• Wavelet estimation of the dimensionality of curve time series
• A new estimation in functional linear concurrent model with covariate dependent and noise contamination
• Functional spherical autocorrelation: a robust estimate of the autocorrelation of a functional time series
• Detecting the complexity of a functional time series
• Identifying the spectral representation of Hilbertian time series
• FSEM: Functional Structural Equation Models for Twin Functional Data
• Sieve bootstrapping the memory parameter in long-range dependent stationary functional time series
• Functional data analysis with increasing number of projections
• Eigenvalue difference test for the number of common factors in the approximate factor models
• Modeling and Forecasting Daily Electricity Load Curves: A Hybrid Approach
• Fractionally integrated curve time series with cointegration
• Resampling Techniques for Estimating the Distribution of Descriptive Statistics of Functional Data
• Robust determination for the number of common factors in the approximate factor models
• Optimal eigen expansions and uniform bounds
• Functional time series approach to analyzing asset returns co-movements
• Poisson reduced-rank models with sparse loadings
• Factor modeling for high-dimensional time series: inference for the number of factors
• A NONPARAMETRIC ESTIMATOR FOR THE COVARIANCE FUNCTION OF FUNCTIONAL DATA
• Martingale Difference Divergence Matrix and Its Application to Dimension Reduction for Stationary Multivariate Time Series
• Nonstationary fractionally integrated functional time series
• Feature extraction for functional time series: theory and application to NIR spectroscopy data
• The correction term in a small-ball probability factorization for random curves
• Functional Linear Regression: Dependence and Error Contamination

Uses Software

• fda (R)

   Recommendations

• Wavelet estimation of the dimensionality of curve time series 👍 👎
• Dynamic Functional Principal Components 👍 👎
• Long-Range Dependent Curve Time Series 👍 👎
• Dimension reduction in time series 👍 👎
• Segmental dynamic factor analysis for time series of curves 👍 👎

This page was built for publication: Identifying the finite dimensionality of curve time series

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q620552)