Inference for the autocovariance of a functional time series under conditional heteroscedasticity
Most methods for analyzing functional time series rely on the estimation of lagged autocovariance operators or surfaces. As in univariate time series analysis, testing whether or not such operators are zero is an important diagnostic step that is well understood when the data, or model residuals, form a strong white noise. When functional data are constructed from dense records of, for example, asset prices or returns, a weak white noise model allowing for conditional heteroscedasticity is...[Show more]
|Collections||ANU Research Publications|
|Source:||Journal of Multivariate Analysis|
|Access Rights:||Open Access|
|1-s2.0-S0047259X17303512-main.pdf||342.68 kB||Adobe PDF|
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