Τίτλος:
Fourier-type tests of mutual independence between functional time series
Γλώσσες Τεκμηρίου:
Αγγλικά
Περίληψη:
We suggest tests of independence between time series of functional observations. The tests are based on characteristic functions which are appropriately estimated from functional observations. The limit distribution of the new test statistic is obtained under the null hypothesis, while under alternatives it is shown that the same test statistic almost surely diverges as the sample size increases. Since the limit null distribution is complicated, a bootstrap version of the test is suggested to assess the test's performance in finite samples. Also, an application illustrates the use of the method with real data from financial markets. Extension to tests of mutual independence for multiple time series is also considered. © 2021 Elsevier Inc.
Έτος δημοσίευσης:
20202020
Συγγραφείς:
Meintanis, S.G.
Hušková, M.
Hlávka, Z.
Περιοδικό:
Journal of Multivariate Analysis
Εκδότης:
Academic Press Inc.
DOI:
10.1016/j.jmva.2021.104873
