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Testing equality of autocovariance operators for functional time series

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  • Dimitrios Pilavakis
  • Efstathios Paparoditis
  • Theofanis Sapatinas

Abstract

We consider strictly stationary stochastic processes of Hilbert space‐valued random variables and focus on fully functional tests for the equality of the lag‐zero autocovariance operators of several independent functional time series. A moving block bootstrap (MBB)‐based testing procedure is proposed which generates pseudo random elements that satisfy the null hypothesis of interest. It is based on directly bootstrapping the time series of tensor products which overcomessome common difficulties associated with applications of the bootstrap to related testing problems. The suggested methodology can be potentially applied to a broad range of test statistics of the hypotheses of interest. As an example, we establish validity for approximating the distribution under the null of a test statistic based on the Hilbert–Schmidt distance of the corresponding sample lag‐zero autocovariance operators, and show consistency under the alternative. As a prerequisite, we prove a central limit theorem for the MBB procedure applied to the sample autocovariance operator which is of interest on its own. The finite sample size and power performance of the suggested MBB‐based testing procedure is illustrated through simulations and an application to a real‐life dataset is discussed.

Suggested Citation

  • Dimitrios Pilavakis & Efstathios Paparoditis & Theofanis Sapatinas, 2020. "Testing equality of autocovariance operators for functional time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(4), pages 571-589, July.
  • Handle: RePEc:bla:jtsera:v:41:y:2020:i:4:p:571-589
    DOI: 10.1111/jtsa.12523
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    References listed on IDEAS

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    1. Leucht, Anne & Paparoditis, Efstathios & Rademacher, Daniel & Sapatinas, Theofanis, 2022. "Testing equality of spectral density operators for functional processes," Journal of Multivariate Analysis, Elsevier, vol. 189(C).
    2. Holger Dette & Kevin Kokot, 2022. "Detecting relevant differences in the covariance operators of functional time series: a sup-norm approach," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 74(2), pages 195-231, April.

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