Weakly dependent functional data

DOI10.1214/09-AOS768zbMATH Open1189.62141arXiv1010.0792OpenAlexW2099053280MaRDI QIDQ973886FDOQ973886

Authors: Siegfried Hörmann, Piotr Kokoszka 

Publication date: 26 May 2010

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

Abstract: Functional data often arise from measurements on fine time grids and are obtained by separating an almost continuous time record into natural consecutive intervals, for example, days. The functions thus obtained form a functional time series, and the central issue in the analysis of such data consists in taking into account the temporal dependence of these functional observations. Examples include daily curves of financial transaction data and daily patterns of geophysical and environmental data. For scalar and vector valued stochastic processes, a large number of dependence notions have been proposed, mostly involving mixing type distances between $sigma$-algebras. In time series analysis, measures of dependence based on moments have proven most useful (autocovariances and cumulants). We introduce a moment-based notion of dependence for functional time series which involves $m$-dependence. We show that it is applicable to linear as well as nonlinear functional time series. Then we investigate the impact of dependence thus quantified on several important statistical procedures for functional data. We study the estimation of the functional principal components, the long-run covariance matrix, change point detection and the functional linear model. We explain when temporal dependence affects the results obtained for i.i.d. functional observations and when these results are robust to weak dependence.

Full work available at URL: https://arxiv.org/abs/1010.0792

Recommendations

• A moment-based notion of time dependence for functional time series
• Testing for independence between functional time series
• Testing with functional time series
• Inference for functional data with applications
• Asymptotic normality of the principal components of functional time series

zbMATH Keywords

asymptoticseigenfunctionsweak dependencechange pointsfunctional time serieslong-run variancefunctional principal components

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10)

Cites Work

• Functional data analysis.
• Functional Data Analysis for Sparse Longitudinal Data
• Mixing: Properties and examples
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Title not available (Why is that?)
• Title not available (Why is that?)
• Some Limit Theorems for Stationary Processes
• Break detection in the covariance structure of multivariate time series models
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Linear processes in function spaces. Theory and applications
• Non-strong mixing autoregressive processes
• Functional Principal Component Regression and Functional Partial Least Squares
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Testing Hypotheses in the Functional Linear Model
• Linear functional regression: The case of fixed design and functional response
• Nonlinear system theory: Another look at dependence
• Functional Additive Models
• On Properties of Functional Principal Components Analysis
• Asymptotic theory for the principal component analysis of a vector random function: Some applications to statistical inference
• Curve forecasting by functional autoregression
• Functional linear regression analysis for longitudinal data
• Smoothing parameter selection for a class of semiparametric linear models
• Generalized functional linear models
• Prediction in functional linear regression
• Current developments in time series modelling
• Title not available (Why is that?)
• Almost sure convergence of the Bartlett estimator
• On discriminating between long-range dependence and changes in mean
• A CENTRAL LIMIT THEOREM AND A STRONG MIXING CONDITION
• Strong invariance principles for dependent random variables
• Asymptotic results for the empirical process of stationary sequences
• A new weak dependence condition and applications to moment inequalities
• Rescaled variance and related tests for long memory in volatility and levels
• Functional generalized linear models with images as predictors
• Inference and Prediction in Large Dimensions
• Title not available (Why is that?)
• Common functional principal components
• Classes of linear operators. Vol. I
• Wavelet methods for continuous-time prediction using Hilbert-valued autoregressive processes
• On rates of convergence in functional linear regression
• Autoregressive forecasting of some functional climatic variations
• STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL LIMIT THEOREM
• Introduction to strong mixing conditions. Vol. 3.
• Title not available (Why is that?)
• Title not available (Why is that?)
• Penalized Spline Models for Functional Principal Component Analysis
• Almost sure invariance principles for partial sums of weakly dependent random variables
• Augmented GARCH sequences: Dependence structure and asymptotics
• Title not available (Why is that?)
• Diagnostics for functional regression via residual processes
• Title not available (Why is that?)
• K-Sample Analogues of the Kolmogorov-Smirnov and Cramer-V. Mises Tests
• Title not available (Why is that?)
• The historical functional linear model
• Title not available (Why is that?)
• Berry-Esseen bounds for econometric time series

Cited In (only showing first 100 items - show all)

• Asymptotic normality of spectral means of Hilbert space valued random processes
• Structural break analysis for spectrum and trace of covariance operators
• Long-Range Dependent Curve Time Series
• Tempered functional time series
• Prediction in functional regression with discretely observed and noisy covariates
• Estimating the conditional distribution in functional regression problems
• Preprocessing noisy functional data: a multivariate perspective
• SEQUENTIAL MONITORING OF CHANGES IN DYNAMIC LINEAR MODELS, APPLIED TO THE U.S. HOUSING MARKET
• Local Whittle estimation of long‐range dependence for functional time series
• Frequency domain theory for functional time series: variance decomposition and an invariance principle
• Factor-augmented Model for Functional Data
• A note on exponential inequalities in Hilbert spaces for spatial processes with applications to the functional kernel regression model
• Inference for the Lagged Cross‐Covariance Operator Between Functional Time Series
• Time series of functional data with application to yield curves
• White noise testing for functional time series
• An autocovariance-based learning framework for high-dimensional functional time series
• Functional data analysis with rough sample paths?
• Functional lagged regression with sparse noisy observations
• Quantifying deviations from separability in space-time functional processes
• Stochastic evolution of distributions and functional Bollinger bands
• A nonparametric test for stationarity in functional time series
• ON MULTIPLE STRUCTURAL BREAKS IN DISTRIBUTION: AN EMPIRICAL CHARACTERISTIC FUNCTION APPROACH
• Two-Sample Tests for Relevant Differences in the Eigenfunctions of Covariance Operators
• Asynchronous changepoint estimation for spatially correlated functional time series
• An RKHS approach for pivotal inference in functional linear regression
• Testing a linear dynamic panel data model against nonlinear alternatives
• A more powerful test identifying the change in mean of functional data
• Greedy Segmentation for a Functional Data Sequence
• Moving block and tapered block bootstrap for functional time series with an application to the \(K\)-sample mean problem
• Finite sample theory for high-dimensional functional/scalar time series with applications
• Model-free bootstrap for a general class of stationary time series
• Identifying multiple changes for a functional data sequence with application to freeway traffic segmentation
• Change-point analysis of time series with evolutionary spectra
• A review study of functional autoregressive models with application to energy forecasting
• A journey from univariate to multivariate functional time series: a comprehensive review
• Review on functional data classification
• Nonlinear prediction of functional time series
• Functional spherical autocorrelation: a robust estimate of the autocorrelation of a functional time series
• Detecting relevant changes in the spatiotemporal mean function
• Estimation of functional ARMA models
• INFERENCE ON THE DIMENSION OF THE NONSTATIONARY SUBSPACE IN FUNCTIONAL TIME SERIES
• Detecting the complexity of a functional time series
• Testing equality of autocovariance operators for functional time series
• Tests for conditional heteroscedasticity of functional data
• Variation pattern classification of functional data
• Sieve bootstrapping the memory parameter in long-range dependent stationary functional time series
• Dynamic semi-parametric factor model for functional expectiles
• Testing Stability in Functional Event Observations with an Application to IPO Performance
• Break point detection for functional covariance
• Factor models for high‐dimensional functional time series I: Representation results
• Detection and estimation of structural breaks in high-dimensional functional time series
• Variable Selection for the Prediction of C[0,1]-Valued Autoregressive Processes using Reproducing Kernel Hilbert Spaces
• Functional forecasting of dissolved oxygen in high-frequency vertical lake profiles
• Elastic functional changepoint detection of climate impacts from localized sources
• Scalable multiple changepoint detection for functional data sequences
• Boosting high dimensional predictive regressions with time varying parameters
• Fractionally integrated curve time series with cointegration
• A test for heteroscedasticity in functional linear models
• On nonparametric classification for weakly dependent functional processes
• Test of Weak Separability for Spatially Stationary Functional Field
• Contrast tests for groups of functional data
• Projection-based white noise and goodness-of-fit tests for functional time series
• Robust change-point detection for functional time series based on \(U\)-statistics and dependent wild bootstrap
• Pivotal tests for relevant differences in the second order dynamics of functional time series
• A note on quadratic forms of stationary functional time series under mild conditions
• Graphical Principal Component Analysis of Multivariate Functional Time Series
• Weak convergence of the conditional U-statistics for locally stationary functional time series
• Principal Component Analysis of Spatially Indexed Functions
• Bootstrap Prediction Bands for Functional Time Series
• Finite sample properties of parametric MMD estimation: robustness to misspecification and dependence
• Nonstationary fractionally integrated functional time series
• Feature extraction for functional time series: theory and application to NIR spectroscopy data
• Consistently recovering the signal from noisy functional data
• Functional ARCH and GARCH models: a Yule-Walker approach
• Lagged covariance and cross-covariance operators of processes in Cartesian products of abstract Hilbert spaces
• Principal components analysis of regularly varying functions
• Unified Principal Component Analysis for Sparse and Dense Functional Data under Spatial Dependency
• Conditional estimation for dependent functional data
• A consistent estimator of the smoothing operator in the functional Hodrick–Prescott filter
• A note on strong-consistency of componentwise ARH(1) predictors
• KPSS test for functional time series
• A Plug‐in Bandwidth Selection Procedure for Long‐Run Covariance Estimation with Stationary Functional Time Series
• Sieve bootstrap for functional time series
• Relative perturbation bounds with applications to empirical covariance operators
• Testing stationarity of functional time series
• Dependent functional data
• Functional GARCH models: the quasi-likelihood approach and its applications
• TESTING EQUALITY OF MEANS WHEN THE OBSERVATIONS ARE FROM FUNCTIONAL TIME SERIES
• Detecting and estimating changes in dependent functional data
• Evaluating stationarity via change-point alternatives with applications to fMRI data
• From multivariate to functional data analysis: fundamentals, recent developments, and emerging areas
• 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
• Two sample inference for the second-order property of temporally dependent functional data
• Varying coefficient functional autoregressive model with application to the U.S. treasuries
• On weak invariance principles for sums of dependent random functionals
• Testing for periodicity in functional time series
• Extensions of some classical methods in change point analysis
• On consistency and sparsity for high-dimensional functional time series with application to autoregressions
• White noise testing and model diagnostic checking for functional time series

Uses Software

• fda (R)

This page was built for publication: Weakly dependent functional data

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q973886)