Sieve bootstrapping the memory parameter in long-range dependent stationary functional time series

Han Lin Shang

AStA Advances in Statistical Analysis, 2023, vol. 107, issue 3, No 3, 441 pages

Abstract: Abstract We consider a sieve bootstrap procedure to quantify the estimation uncertainty of long-memory parameters in stationary functional time series. We use a semiparametric local Whittle estimator to estimate the long-memory parameter. In the local Whittle estimator, discrete Fourier transform and periodogram are constructed from the first set of principal component scores via a functional principal component analysis. The sieve bootstrap procedure uses a general vector autoregressive representation of the estimated principal component scores. It generates bootstrap replicates that adequately mimic the dependence structure of the underlying stationary process. We first compute the estimated first set of principal component scores for each bootstrap replicate and then apply the semiparametric local Whittle estimator to estimate the memory parameter. By taking quantiles of the estimated memory parameters from these bootstrap replicates, we can nonparametrically construct confidence intervals of the long-memory parameter. As measured by coverage probability differences between the empirical and nominal coverage probabilities at three levels of significance, we demonstrate the advantage of using the sieve bootstrap compared to the asymptotic confidence intervals based on normality.

Keywords: Functional principal component analysis; Functional autoregressive fractionally integrated moving average; Vector autoregression; Local Whittle estimator; Long-run covariance function (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1007/s10182-022-00463-7

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