Abstract Details
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Activity Number:
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296
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Type:
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Contributed
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Date/Time:
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Tuesday, August 5, 2014 : 8:30 AM to 10:20 AM
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Sponsor:
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Section on Nonparametric Statistics
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Abstract #313831
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View Presentation
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Title:
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A Random Walk Test for Functional Time Series
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Author(s):
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Juan Romo*+ and Rosa Lillo and Nicola Mingotti
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Companies:
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Universidad Carlos III de Madrid and Universidad Carlos III de Madrid and Universidad Carlos III de Madrid
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Keywords:
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Abstract:
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A functional time series is a collection of curves observed sequentially in time. Testing for stationarity is a needed preliminary step when analyzing time series. We propose a test for random walk against stationarity for functional autoregressive time series models. The norm of the autoregressive operator used to define the critical region is approached by using a bootstrap resampling scheme. We present simulations and real examples showing the good behaviour of the test.
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Authors who are presenting talks have a * after their name.
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