RePEc: Research Papers in Economics · 2019 · 56 citations · 30 references
ComputingData ScienceEconometricsFinancial EconometricsTime Series AnalysisFourier AnalysisFrequency-domain AnalysisFunctional Time Series AnalysisSpectral AnalysisStationarity AnalysisTime Series EconometricsAsymptotic AnalysisFunctional StationarityLocal StationarityNull HypothesisSimulation StudiesSpectral DensityStationary Time SeriesTest Statistics
Interest in functional time series has spiked in the recent past with papers covering both methodology and applications being published at a much increased pace. This article contributes to the research in this area by proposing a new stationarity test for functional time series based on frequency domain methods. The proposed test statistics is based on joint dimension reduction via functional principal components analysis across the spectral density operators at all Fourier frequencies, explicitly allowing for frequency-dependent levels of truncation to adapt to the dynamics of the underlying functional time series. The properties of the test are derived both under the null hypothesis of stationary functional time series and under the smooth alternative of locally stationary functional time series. The methodology is theoretically justified through asymptotic results. Evidence from simulation studies and an application to annual temperature curves suggests that the test works well in finite samples.
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Fitting time series models to nonstationary processes
Rainer Dahlhaus · The Annals of Statistics · 1997 · 938 citations · Full text
Computing, Meteorology, Econometrics +15
Time Series: Data Analysis and Theory.
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Structural breaks in time series
Alexander Aue, Lajos Horváth · Journal of Time Series Analysis · 2012 · 449 citations · Full text
Business, Economics, Econometrics +16