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Weak convergence of the conditional U-statistics for locally stationary functional time series

Author

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  • Inass Soukarieh

    (Université de Technologie de Compiègne)

  • Salim Bouzebda

    (Université de Technologie de Compiègne)

Abstract

In recent years, the direction has turned to non-stationary time series. Here the situation is more complicated: it is often unclear how to set down a meaningful asymptotic for non-stationary processes. For this reason, the theory of locally stationary processes arose, and it is based on infill asymptotics created from non-parametric statistics. The present paper aims to develop a framework for inference of locally stationary functional time series based on the so-called conditional U-statistics introduced by Stute (Ann Probab 19:812–825, 1991), and may be viewed as a generalization of the Nadaraya-Watson regression function estimates. In this paper, we introduce an estimator of the conditional U-statistics operator that takes into account the nonstationary behavior of the data-generating process. We are mainly interested in establishing weak convergence of conditional U-processes in the locally stationary functional mixing data framework. More precisely, we investigate the weak convergence of conditional U-processes when the explicative variable is functional. We treat the weak convergence when the class of functions is bounded or unbounded, satisfying some moment conditions. These results are established under fairly general structural conditions on the classes of functions and the underlying models. The theoretical results established in this paper are (or will be) critical tools for further functional data analysis developments.

Suggested Citation

  • Inass Soukarieh & Salim Bouzebda, 2024. "Weak convergence of the conditional U-statistics for locally stationary functional time series," Statistical Inference for Stochastic Processes, Springer, vol. 27(2), pages 227-304, July.
    • Handle: RePEc:spr:sistpr:v:27:y:2024:i:2:d:10.1007_s11203-023-09305-y
    DOI: 10.1007/s11203-023-09305-y
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