Testing for stationarity of functional time series in the frequency domain
نویسندگان
چکیده
منابع مشابه
Testing stationarity of functional time series
Economic and financial data often take the formof a collection of curves observed consecutively over time. Examples include, intraday price curves, yield and term structure curves, and intraday volatility curves. Such curves can be viewed as a time series of functions. A fundamental issue that must be addressed, before an attempt is made to statistically model such data, is whether these curves...
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
Stationarity Testing in High-Frequency Seasonal Time Series
Deciding whether seasonality is of a stochastic nature, and thus slowly changing over time, or deterministic and thus repeating in the same way each season can have a substantial impact on forecast accuracy. Tests for stochastic seasonality, called seasonal unit root tests, have been developed for certain common seasonal periods, like 12 (monthly data) 4 and 2, but until now have not been avail...
متن کاملPaper SDA-12 Stationarity Testing in High Frequency Seasonal Time Series
Time series quite often show patterns that repeat periodically. Monthly retail sales provide a good example. If the seasonality is very regular, seasonal dummy variables can be used to give, for example, a monthly effect for each month. With this approach, the January effect is assumed to be the same regardless of the year. Seasonal ARMA error terms can be added to make some local modifications...
متن کاملStationarity in OWD time series
IT is a widely accepted view that Internet tra c and thus the related quantities show long-range dependence (LRD). Besides other features, in practice, this means slowly decaying correlations, often according to some power law: C(τ) ∼ τ−α. Recent results suggest that this phenomenon is valid only on certain time scales, depending on the actual measurement. Stationary periods were detected in va...
متن کاملذخیره 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: The Annals of Statistics
سال: 2020
ISSN: 0090-5364
DOI: 10.1214/19-aos1895