Spectral analysis of long range dependence functional time series
Statistics Theory
2021-10-13 v7 Statistics Theory
Abstract
Long Range Dependence (LRD) in functional sequences is characterized in the spectral domain under suitable conditions. Particularly, multifractionally integrated functional autoregressive moving averages processes can be introduced in this framework. The convergence to zero in the Hilbert-Schmidt operator norm of the integrated bias of the periodogram operator is proved. Under a Gaussian scenario, a weak--consistent parametric estimator of the long--memory operator is then obtained by minimizing, in the norm of bounded linear operators, a divergence information functional loss.
Cite
@article{arxiv.1912.07086,
title = {Spectral analysis of long range dependence functional time series},
author = {M. Dolores Ruiz-Medina},
journal= {arXiv preprint arXiv:1912.07086},
year = {2021}
}
Comments
36 pages