Autor(en): Dette, Holger
Kokot, Kevin
Titel: Detecting relevant differences in the covariance operators of functional time series - a sup-norm approach
Sprache (ISO): en
Zusammenfassung: In this paper we propose statistical inference tools for the covariance operators of functional time series in the two sample and change point problem. In contrast to most of the literature the focus of our approach is not testing the null hypothesis of exact equality of the covariance operators. Instead we propose to formulate the null hypotheses in the form that "the distance between the operators is small", where we measure deviations by the sup-norm. We provide powerful bootstrap tests for these type of hypotheses, investigate their asymptotic properties and study their finite sample properties by means of a simulation study.
Schlagwörter: covariance operator
bootstrap
Banach spaces
relevant hypotheses
CUSUM
change point problems
two sample problems
functional time series
URI: http://hdl.handle.net/2003/39181
http://dx.doi.org/10.17877/DE290R-21099
Erscheinungsdatum: 2020
Enthalten in den Sammlungen:Sonderforschungsbereich (SFB) 823

Dateien zu dieser Ressource:
Datei Beschreibung GrößeFormat 
DP_1820_SFB823_Dette_Kokot.pdfDNB563.92 kBAdobe PDFÖffnen/Anzeigen


Diese Ressource ist urheberrechtlich geschützt.



Alle Ressourcen in diesem Repository sind urheberrechtlich geschützt.