Testing for independence between functional time series
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Abstract: Frequently econometricians are interested in verifying a relationship between two or more time series. Such analysis is typically carried out by causality and/or independence tests which have been well studied when the data is univariate or multivariate. Modern data though is increasingly of a high dimensional or functional nature for which finite dimensional methods are not suitable. In the present paper we develop methodology to check the assumption that data obtained from two functional time series are independent. Our procedure is based on the norms of empirical cross covariance operators and is asymptotically validated when the underlying populations are assumed to be in a class of weakly dependent random functions which include the functional ARMA, ARCH and GARCH processes.
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Cites work
- scientific article; zbMATH DE number 741240 (Why is no real title available?)
- scientific article; zbMATH DE number 3797061 (Why is no real title available?)
- scientific article; zbMATH DE number 2109191 (Why is no real title available?)
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Cited in
(27)- A moment-based notion of time dependence for functional time series
- Testing serial independence with functional data
- Gap between orthogonal projectors -- application to stationary processes
- On two sample inference for eigenspaces in functional data analysis with dependent errors
- Inference for the lagged cross-covariance operator between functional time series
- Two-Sample Tests for Relevant Differences in the Eigenfunctions of Covariance Operators
- Detecting at-most-\(\mathfrak{m}\) changes in linear regression models
- Testing separability of functional time series
- Bootstrapping covariance operators of functional time series
- Fourier-type tests of mutual independence between functional time series
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- Portmanteau Test of Independence for Functional Observations
- Most stringent test of independence for time series
- Testing for independence in heavy-tailed time series using the codifference function
- A randomness test for functional panels
- Testing equality of means when the observations are from functional time series
- On functional data analysis and related topics
- Weakly dependent functional data
- Pivotal tests for relevant differences in the second order dynamics of functional time series
- Testing for stationarity of functional time series in the frequency domain
- On the asymptotic normality of kernel estimators of the long run covariance of functional time series
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