A randomness test for functional panels

Kokoszka, Piotr ; Reimherr, Matthew ; Wölfing, Nikolas

DOI: https://doi.org/10.1016/j.jmva.2016.07.002
URL: https://www.sciencedirect.com/science/article/pii/...
Additional URL: https://arxiv.org/abs/1510.02594
Document Type: Article
Year of publication: 2016
The title of a journal, publication series: Journal of Multivariate Analysis : JMVA
Volume: 151
Page range: 37-53
Place of publication: Amsterdam [u.a.]
Publishing house: Elsevier
ISSN: 0047-259X , 1095-7243
Publication language: English
Institution: Business School > Managerial Accounting (Juniorprofessur) (Wölfing 2019-2022)
Subject: 310 Statistics
333.7 Natural resources, energy and environment
Abstract: Functional panels are collections of functional time series, and arise often in the study of high frequency multivariate data. We develop a portmanteau style test to determine if the cross-sections of such a panel are independent and identically distributed. Our framework allows the number of functional projections and/or the number of time series to grow with the sample size. A large sample justification is based on a new central limit theorem for random vectors of increasing dimension. With a proper normalization, the limit is standard normal, potentially making this result easily applicable in other FDA context in which projections on a subspace of increasing dimension are used. The test is shown to have correct size and excellent power using simulated panels whose random structure mimics the realistic dependence encountered in real panel data. It is expected to find application in climatology, finance, ecology, economics, and geophysics. We apply it to Southern Pacific sea surface temperature data, precipitation patterns in the South-West United States, and temperature curves in Germany.

Dieser Datensatz wurde nicht während einer Tätigkeit an der Universität Mannheim veröffentlicht, dies ist eine Externe Publikation.

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