Fractionally integrated curve time series with cointegration

DOI10.1214/24-EJS2290MaRDI QIDQ6635575FDOQ6635575

Authors: Won-Ki Seo, Han Lin Shang 

Publication date: 12 November 2024

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Recommendations

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zbMATH Keywords

functional datafunctional principal component analysisfractional cointegrationlimit theoremslong-memory time series

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Monte Carlo methods (65C05) Time series analysis of dynamical systems (37M10)

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