On the asymptotic normality of kernel estimators of the long run covariance of functional time series

DOI10.1016/J.JMVA.2015.11.005zbMATH Open1360.62450arXiv1503.00741OpenAlexW2964136214MaRDI QIDQ901286FDOQ901286

István Berkes, Gregory Rice, Lajos Horváth

Publication date: 23 December 2015

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Abstract: We consider the asymptotic normality in $L^2$ of kernel estimators of the long run covariance kernel of stationary functional time series. Our results are established assuming a weakly dependent Bernoulli shift structure for the underlying observations, which contains most stationary functional time series models, under mild conditions. As a corollary, we obtain joint asymptotics for functional principal components computed from empirical long run covariance operators, showing that they have the favorable property of being asymptotically independent.

Full work available at URL: https://arxiv.org/abs/1503.00741

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zbMATH Keywords

normal approximationfunctional time seriesmoment inequalitiesempirical eigenvalues and eigenfunctionslong run covariance operator

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

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Cited In (13)

• Asymptotic normality of spectral means of Hilbert space valued random processes
• A Plug‐in Bandwidth Selection Procedure for Long‐Run Covariance Estimation with Stationary Functional Time Series
• An introduction to functional data analysis and a principal component approach for testing the equality of mean curves
• Higher‐Order Accurate Spectral Density Estimation of Functional Time Series
• A comparison of Hurst exponent estimators in long-range dependent curve time series
• Bootstrapping covariance operators of functional time series
• Testing Stability in Functional Event Observations with an Application to IPO Performance
• A moment-based notion of time dependence for functional time series
• A note on quadratic forms of stationary functional time series under mild conditions
• Change point analysis of covariance functions: a weighted cumulative sum approach
• Feature extraction for functional time series: theory and application to NIR spectroscopy data
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• A large deviation inequality for \(\beta\)-mixing time series and its applications to the functional kernel regression model

Uses Software

• fda (R)
• freqdom.fda

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