Testing serial independence with functional data

Zdeněk Hlávka (), Marie Hušková () and Simos G. Meintanis ()
Additional contact information
Zdeněk Hlávka: Charles University, Faculty of Mathematics and Physics
Marie Hušková: Charles University, Faculty of Mathematics and Physics
Simos G. Meintanis: National and Kapodistrian University of Athens

TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2021, vol. 30, issue 3, No 4, 603-629

Abstract: Abstract We consider tests of serial independence for a sequence of functional observations. The new methods are formulated as L2-type criteria based on empirical characteristic functions and are convenient from the computational point of view. We derive asymptotic normality of the proposed test statistics for both discretely and continuously observed functions. In a Monte Carlo study, we show that the new test is sensitive with respect to functional GARCH alternatives, investigate the choice of necessary tuning parameters, and demonstrate that critical values obtained by resampling lead to a test with good performance in any setup, whereas the asymptotic critical values may be recommended only for a sufficiently fine discretization grid. Finite-sample comparison with a distance (auto)covariance test criterion is also included, and the article concludes with application on a real data set.

Keywords: Functional data; Serial independence; Empirical characteristic function; Testing; 62R10; 62G10; 62H15 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://link.springer.com/10.1007/s11749-020-00732-0 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:testjl:v:30:y:2021:i:3:d:10.1007_s11749-020-00732-0

Ordering information: This journal article can be ordered from
http://www.springer. ... cs/journal/11749/PS2

DOI: 10.1007/s11749-020-00732-0

Access Statistics for this article

TEST: An Official Journal of the Spanish Society of Statistics and Operations Research is currently edited by Alfonso Gordaliza and Ana F. Militino

More articles in TEST: An Official Journal of the Spanish Society of Statistics and Operations Research from Springer, Sociedad de Estadística e Investigación Operativa
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().