A portmanteau-type test for detecting serial correlation in locally stationary functional time series
نویسندگان
چکیده
Abstract The portmanteau test provides the vanilla method for detecting serial correlations in classical univariate time series analysis. is extended to case of observations from a locally stationary functional series. Asymptotic critical values are obtained by suitable block multiplier bootstrap procedure. shown asymptotically hold its level and be consistent against general alternatives.
منابع مشابه
Portmanteau test statistics for seasonal serial correlation in time series models
The seasonal autoregressive moving average SARMA models have been widely adopted for modeling many time series encountered in economic, hydrology, meteorological, and environmental studies which exhibited strong seasonal behavior with a period s. If the model is adequate, the autocorrelations in the errors at the seasonal and the nonseasonal lags will be zero. Despite the popularity uses of the...
متن کاملA Generalized Portmanteau Test for Independence between Two Stationary Time Series
We propose generalized portmanteau-type test statistics in the frequency domain to test independence between two stationary time series. The test statistics are formed analogous to the one in Chen and Deo (2004, Econometric Theory 20, 382-416), who extended the applicability of portmanteau goodness-of-fit test to the long memory case. Under the null hypothesis of independence, the asymptotic st...
متن کاملNonparametric regression for locally stationary time series
In this paper, we study nonparametric models allowing for locally stationary regressors and a regression function that changes smoothly over time. These models are a natural extension of time series models with time-varying coefficients. We introduce a kernel-based method to estimate the time-varying regression function and provide asymptotic theory for our estimates. Moreover, we show that the...
متن کاملKernel-based portmanteau diagnostic test for ARMA time series models
In this paper, the definition of the Toeplitz autocorrelation matrix is used to derive a kernel-based portmanteau test statistic for ARMA models. Under the null hypothesis of no serial correlation, the distribution of the test statistic is approximated by a standard normal using the kernel-based normalized spectral density estimator, without having to specify any alternative model. Unlike most ...
متن کاملa time-series analysis of the demand for life insurance in iran
با توجه به تجزیه و تحلیل داده ها ما دریافتیم که سطح درامد و تعداد نمایندگیها باتقاضای بیمه عمر رابطه مستقیم دارند و نرخ بهره و بار تکفل با تقاضای بیمه عمر رابطه عکس دارند
ذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Statistical Inference for Stochastic Processes
سال: 2023
ISSN: ['1572-9311', '1387-0874']
DOI: https://doi.org/10.1007/s11203-022-09285-5