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

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