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A Portmanteau-type test for detecting serial correlation in locally stationary functional time series
- Publication Year :
- 2020
-
Abstract
- The Portmanteau test provides the vanilla method for detecting serial correlations in classical univariate time series analysis. The method is extended to the case of observations from a locally stationary functional time series. Asymptotic critical values are obtained by a suitable block multiplier bootstrap procedure. The test is shown to asymptotically hold its level and to be consistent against general alternatives.<br />Comment: Keywords: Autocovariance operator, Block multiplier bootstrap, Functional white noise, Time domain test
- Subjects :
- Mathematics - Statistics Theory
Statistics - Methodology
Subjects
Details
- Database :
- arXiv
- Publication Type :
- Report
- Accession number :
- edsarx.2009.07312
- Document Type :
- Working Paper