Testing serial independence with functional data

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F21%3A10434821" target="_blank" >RIV/00216208:11320/21:10434821 - isvavai.cz</a>

Výsledek na webu

<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=55_FrZ90es" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=55_FrZ90es</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1007/s11749-020-00732-0" target="_blank" >10.1007/s11749-020-00732-0</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Testing serial independence with functional data

Popis výsledku v původním jazyce

We consider tests of serial independence for a sequence of functional observations. The new methods are formulated as L2-type criteria based on empirical characteristic functions and are convenient from the computational point of view. We derive asymptotic normality of the proposed test statistics for both discretely and continuously observed functions. In a Monte Carlo study, we show that the new test is sensitive with respect to functional GARCH alternatives, investigate the choice of necessary tuning parameters, and demonstrate that critical values obtained by resampling lead to a test with good performance in any setup, whereas the asymptotic critical values may be recommended only for a sufficiently fine discretization grid. Finite-sample comparison with a distance (auto)covariance test criterion is also included, and the article concludes with application on a real data set.

Název v anglickém jazyce

Testing serial independence with functional data

Popis výsledku anglicky

We consider tests of serial independence for a sequence of functional observations. The new methods are formulated as L2-type criteria based on empirical characteristic functions and are convenient from the computational point of view. We derive asymptotic normality of the proposed test statistics for both discretely and continuously observed functions. In a Monte Carlo study, we show that the new test is sensitive with respect to functional GARCH alternatives, investigate the choice of necessary tuning parameters, and demonstrate that critical values obtained by resampling lead to a test with good performance in any setup, whereas the asymptotic critical values may be recommended only for a sufficiently fine discretization grid. Finite-sample comparison with a distance (auto)covariance test criterion is also included, and the article concludes with application on a real data set.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

10103 - Statistics and probability

Projekt

<a href="/cs/project/GA18-08888S" target="_blank" >GA18-08888S: Dvouvýběrový bod změny</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2021

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Test

ISSN

1133-0686

e-ISSN

—

Svazek periodika

30

Číslo periodika v rámci svazku

3

Stát vydavatele periodika

ES - Španělské království

Počet stran výsledku

27

Strana od-do

603-629

Kód UT WoS článku

000568706400001

EID výsledku v databázi Scopus

2-s2.0-85090779857