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A moment-based notion of time dependence for functional time series

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  • Salish, Nazarii
  • Gleim, Alexander

Abstract

This paper addresses the fundamental topic of time dependence for time series when data points are given as functions. We construct a notion of time dependence through the projections on the basis system extracted from the principal components of normalized sums. This allows us to adapt various scalar time series techniques to the functional data context. In particular, we define dependence based on the autocovariances and cumulants of the projections, covering short and long memory scenarios. This notion naturally applies to linear processes. We illustrate the applicability of this moment based approach through several statistical problems in functional time series: (i) investigating the consistency of the estimator of the functional principal components under short and long memory, (ii) estimating the long-run covariance function and (iii) testing for short memory against the long memory alternative.

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  • Salish, Nazarii & Gleim, Alexander, 2019. "A moment-based notion of time dependence for functional time series," Journal of Econometrics, Elsevier, vol. 212(2), pages 377-392.
    • Handle: RePEc:eee:econom:v:212:y:2019:i:2:p:377-392
    DOI: 10.1016/j.jeconom.2019.03.007
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    Cited by:

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    3. Alexander Gleim & Nazarii Salish, 2022. "Forecasting Environmental Data: An example to ground-level ozone concentration surfaces," Papers 2202.03332, arXiv.org.

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    More about this item

    Keywords

    Functional time series; Time dependencies; Dimension reduction; Principal components; Asymptotics;
    All these keywords.

    JEL classification:

    • C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General
    • C55 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Large Data Sets: Modeling and Analysis
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General

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