Fourier-type tests of mutual independence between functional time series

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F22%3A10444945" target="_blank" >RIV/00216208:11320/22:10444945 - isvavai.cz</a>

Výsledek na webu

<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=NST9MENSnO" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=NST9MENSnO</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1016/j.jmva.2021.104873" target="_blank" >10.1016/j.jmva.2021.104873</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Fourier-type tests of mutual independence between functional time series

Popis výsledku v původním jazyce

We suggest tests of independence between time series of functional observations. The tests are based on characteristic functions which are appropriately estimated from functional observations. The limit distribution of the new test statistic is obtained under the null hypothesis, while under alternatives it is shown that the same test statistic almost surely diverges as the sample size increases. Since the limit null distribution is complicated, a bootstrap version of the test is suggested to assess the test&apos;s performance in finite samples. Also, an application illustrates the use of the method with real data from financial markets. Extension to tests of mutual independence for multiple time series is also considered.

Název v anglickém jazyce

Fourier-type tests of mutual independence between functional time series

Popis výsledku anglicky

We suggest tests of independence between time series of functional observations. The tests are based on characteristic functions which are appropriately estimated from functional observations. The limit distribution of the new test statistic is obtained under the null hypothesis, while under alternatives it is shown that the same test statistic almost surely diverges as the sample size increases. Since the limit null distribution is complicated, a bootstrap version of the test is suggested to assess the test&apos;s performance in finite samples. Also, an application illustrates the use of the method with real data from financial markets. Extension to tests of mutual independence for multiple time series is also considered.

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

2022

Kód důvěrnosti údajů

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

Název periodika

Journal of Multivariate Analysis

ISSN

0047-259X

e-ISSN

—

Svazek periodika

189

Číslo periodika v rámci svazku

May 2022

Stát vydavatele periodika

US - Spojené státy americké

Počet stran výsledku

15

Strana od-do

104873

Kód UT WoS článku

000759649300027

EID výsledku v databázi Scopus

2-s2.0-85118976221