Name
Abstract | ||
|---|---|---|
The functional autoregressive process has become a useful tool in the analysis of functional time series data. It is defined by the equation X"n"+"1=@JX"n+@e"n"+"1, in which the observations X"n and errors @e"n are curves, and @J is an operator. To ensure meaningful inference and prediction based on this model, it is important to verify that the operator @J does not change with time. We propose a method for testing the constancy of @J against a change-point alternative which uses the functional principal component analysis. The test statistic is constructed to have a well-known asymptotic distribution, but the asymptotic justification of the procedure is very delicate. We develop a new truncation approach which together with Mensov's inequality can be used in other problems of functional time series analysis. The estimation of the principal components introduces asymptotically non-negligible terms, which however cancel because of the special form of our test statistic (CUSUM type). The test is implemented using the R package fda, and its finite sample performance is examined by application to credit card transaction data. |
Year | DOI | Venue |
|---|---|---|
2010 | 10.1016/j.jmva.2008.12.008 | J. Multivariate Analysis |
Keywords | Field | DocType |
asymptotic justification,observations x,equation x,functional principal component analysis,test statistic,credit card transaction data,principal component,functional autoregressive process,functional time series data,change-point,functional time series analysis,62m10,time series data,autoregressive process,transaction data,asymptotic distribution,time series analysis | Functional principal component analysis,Econometrics,Truncation,Time series,Autoregressive model,Test statistic,Credit card,Statistics,Statistical hypothesis testing,Mathematics,Asymptotic distribution | Journal |
Volume | Issue | ISSN |
101 | 2 | Journal of Multivariate Analysis |
Citations | PageRank | References |
4 | 1.79 | 2 |
Authors | ||
3 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Lajos Horváth | 1 | 28 | 9.10 |
| Marie Hušková | 2 | 23 | 9.73 |
| Piotr Kokoszka | 3 | 27 | 8.46 |