A Portmanteau-type test for detecting serial correlation in locally stationary functional time series
Statistics Theory
2020-09-17 v1 Methodology
Statistics Theory
Abstract
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.
Keywords
Cite
@article{arxiv.2009.07312,
title = {A Portmanteau-type test for detecting serial correlation in locally stationary functional time series},
author = {Axel Bücher and Holger Dette and Florian Heinrichs},
journal= {arXiv preprint arXiv:2009.07312},
year = {2020}
}
Comments
Keywords: Autocovariance operator, Block multiplier bootstrap, Functional white noise, Time domain test