Authors: | Bücher, Axel Dette, Holger Heinrichs, Florian |
Title: | A portmanteau-type test for detecting serial correlation in locally stationary functional time series |
Language (ISO): | en |
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. |
Subject Headings: | autocovariance operator time domain test functional white noise block multiplier bootstrap |
Subject Headings (RSWK): | Zeitreihenanalyse Weißes Rauschen Bootstrap-Statistik |
URI: | http://hdl.handle.net/2003/39304 http://dx.doi.org/10.17877/DE290R-21205 |
Issue Date: | 2020 |
Appears in Collections: | Sonderforschungsbereich (SFB) 823 |
Files in This Item:
File | Description | Size | Format | |
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DP_2520_SFB823_Bücher_Dette_Heinrichs.pdf | DNB | 553.58 kB | Adobe PDF | View/Open |
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