Modeling functional data: a test procedure

Enea G. Bongiorno (), Aldo Goia () and Philippe Vieu ()
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Enea G. Bongiorno: Università del Piemonte Orientale
Aldo Goia: Università del Piemonte Orientale
Philippe Vieu: Université Paul Sabatier

Computational Statistics, 2019, vol. 34, issue 2, No 2, 468 pages

Abstract: Abstract The paper deals with a test procedure able to state the compatibility of observed data with a reference model, by using an estimate of the volumetric part in the small-ball probability factorization which plays the role of a real complexity index. As a preliminary by-product we state some asymptotics for a new estimator of the complexity index. A suitable test statistic is derived and, referring to the U-statistics theory, its asymptotic null distribution is obtained. A study of level and power of the test for finite sample sizes and a comparison with a competitor are carried out by Monte Carlo simulations. The test procedure is performed over a financial time series.

Keywords: U-statistics; Small-ball probability; Multiple test; Holm–Bonferroni procedure (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (3)

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DOI: 10.1007/s00180-018-0816-9

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