Authors: Dette, Holger
Kutta, Tim
Title: Detecting structural breaks in eigensystems of functional time series
Language (ISO): en
Abstract: Detecting structural changes in functional data is a prominent topic in statistical literature. However not all trends in the data are important in applications, but only those of large enough in uence. In this paper we address the problem of identifying relevant changes in the eigenfunctions and eigenvalues of covariance kernels of L^2[0; 1]- valued time series. By self-normalization techniques we derive pivotal, asymptotically consistent tests for relevant changes in these characteristics of the second order structure and investigate their finite sample properties in a simulation study. The applicability of our approach is demonstrated analyzing German annual temperature data.
Subject Headings: functional time series
self-normalization
eigenvalues
eigenfunctions
relevant changes
URI: http://hdl.handle.net/2003/38386
http://dx.doi.org/10.17877/DE290R-20319
Issue Date: 2019
Appears in Collections:Sonderforschungsbereich (SFB) 823

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