A portmanteau-type test for detecting serial correlation in locally stationary functional time series

被引：0
|
作者：
Axel Bücher
Holger Dette
Florian Heinrichs
机构：
[1] Heinrich-Heine-Universität Düsseldorf,Mathematisches Institut
[2] Ruhr-Universität Bochum,Fakultät für Mathematik
来源：
Statistical Inference for Stochastic Processes | 2023年 / 26卷
关键词：
Autocovariance operator; Block multiplier bootstrap; Functional white noise; Time domain test;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
The portmanteau test provides the vanilla method for detecting serial correlations in classical univariate time series analysis. The method is extended to the case of observations from a locally stationary functional time series. Asymptotic critical values are obtained by a suitable block multiplier bootstrap procedure. The test is shown to asymptotically hold its level and to be consistent against general alternatives.
引用
收藏
页码：255 / 278
页数：23
相关论文
共 50 条
12345