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Tests for Error Correlation in the Functional Linear Model

Author

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  • Gabrys, Robertas
  • Horváth, Lajos
  • Kokoszka, Piotr

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  • Gabrys, Robertas & Horváth, Lajos & Kokoszka, Piotr, 2010. "Tests for Error Correlation in the Functional Linear Model," Journal of the American Statistical Association, American Statistical Association, vol. 105(491), pages 1113-1125.
    • Handle: RePEc:bes:jnlasa:v:105:i:491:y:2010:p:1113-1125
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    Citations

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    Cited by:

    1. James Cameron & Pramita Bagchi, 2022. "A test for heteroscedasticity in functional linear models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 31(2), pages 519-542, June.
    2. Rice, Gregory & Wirjanto, Tony & Zhao, Yuqian, 2020. "Forecasting value at risk with intra-day return curves," International Journal of Forecasting, Elsevier, vol. 36(3), pages 1023-1038.
    3. Mingotti, Nicola & Lillo Rodríguez, Rosa Elvira & Romo, Juan, 2015. "A Random Walk Test for Functional Time Series," DES - Working Papers. Statistics and Econometrics. WS ws1506, Universidad Carlos III de Madrid. Departamento de Estadística.
    4. Horváth, Lajos & Hušková, Marie & Rice, Gregory, 2013. "Test of independence for functional data," Journal of Multivariate Analysis, Elsevier, vol. 117(C), pages 100-119.
    5. Zhang, Xianyang, 2016. "White noise testing and model diagnostic checking for functional time series," Journal of Econometrics, Elsevier, vol. 194(1), pages 76-95.
    6. Valentina Masarotto & Victor M. Panaretos & Yoav Zemel, 2019. "Procrustes Metrics on Covariance Operators and Optimal Transportation of Gaussian Processes," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 81(1), pages 172-213, February.
    7. Eduardo García‐Portugués & Javier Álvarez‐Liébana & Gonzalo Álvarez‐Pérez & Wenceslao González‐Manteiga, 2021. "A goodness‐of‐fit test for the functional linear model with functional response," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 48(2), pages 502-528, June.
    8. Devin Didericksen & Piotr Kokoszka & Xi Zhang, 2012. "Empirical properties of forecasts with the functional autoregressive model," Computational Statistics, Springer, vol. 27(2), pages 285-298, June.
    9. Lijie Gu & Li Wang & Wolfgang Härdle & Lijian Yang, 2014. "A simultaneous confidence corridor for varying coefficient regression with sparse functional data," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 23(4), pages 806-843, December.
    10. Maeng, Hye Young & Fryzlewicz, Piotr, 2019. "Regularised forecasting via smooth-rough partitioning of the regression coefficients," LSE Research Online Documents on Economics 100878, London School of Economics and Political Science, LSE Library.
    11. Axel Bücher & Holger Dette & Florian Heinrichs, 2023. "A portmanteau-type test for detecting serial correlation in locally stationary functional time series," Statistical Inference for Stochastic Processes, Springer, vol. 26(2), pages 255-278, July.
    12. Meintanis, Simos G. & Hušková, Marie & Hlávka, Zdeněk, 2022. "Fourier-type tests of mutual independence between functional time series," Journal of Multivariate Analysis, Elsevier, vol. 189(C).
    13. Horváth, Lajos & Kokoszka, Piotr & Rice, Gregory, 2014. "Testing stationarity of functional time series," Journal of Econometrics, Elsevier, vol. 179(1), pages 66-82.
    14. Mestre, Guillermo & Portela, José & Rice, Gregory & Muñoz San Roque, Antonio & Alonso, Estrella, 2021. "Functional time series model identification and diagnosis by means of auto- and partial autocorrelation analysis," Computational Statistics & Data Analysis, Elsevier, vol. 155(C).
    15. Chen, Yichao & Pun, Chi Seng, 2019. "A bootstrap-based KPSS test for functional time series," Journal of Multivariate Analysis, Elsevier, vol. 174(C).
    16. Rice, Gregory & Wirjanto, Tony & Zhao, Yuqian, 2019. "Tests for conditional heteroscedasticity with functional data and goodness-of-fit tests for FGARCH models," MPRA Paper 93048, University Library of Munich, Germany.
    17. Han Lin Shang & Yang Yang & Fearghal Kearney, 2019. "Intraday forecasts of a volatility index: functional time series methods with dynamic updating," Annals of Operations Research, Springer, vol. 282(1), pages 331-354, November.
    18. Siegfried Hörmann & Łukasz Kidziński & Piotr Kokoszka, 2015. "Estimation in Functional Lagged Regression," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(4), pages 541-561, July.
    19. Han Shang, 2014. "Bayesian bandwidth estimation for a semi-functional partial linear regression model with unknown error density," Computational Statistics, Springer, vol. 29(3), pages 829-848, June.
    20. Kokoszka, Piotr & Reimherr, Matthew, 2013. "Asymptotic normality of the principal components of functional time series," Stochastic Processes and their Applications, Elsevier, vol. 123(5), pages 1546-1562.
    21. Bouri, Elie & Lau, Chi Keung Marco & Saeed, Tareq & Wang, Shixuan & Zhao, Yuqian, 2021. "On the intraday return curves of Bitcoin: Predictability and trading opportunities," International Review of Financial Analysis, Elsevier, vol. 76(C).

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