On the asymptotic normality of kernel estimators of the long run covariance of functional time series
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Abstract: We consider the asymptotic normality in 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.
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Cited in
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- A comparison of Hurst exponent estimators in long-range dependent curve time series
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- Lagged covariance and cross-covariance operators of processes in Cartesian products of abstract Hilbert spaces
- A large deviation inequality for \(\beta\)-mixing time series and its applications to the functional kernel regression model
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