A Random Walk Test for Functional Time Series

In this paper we introduce a Random Walk test for Functional Autoregressive Processes of Order One. The test is non parametric, based on Bootstrap and Functional Principal Components. The power of the test is shown through an extensive Montecarlo simulation. We apply the test to two real dataset, Bitcoin prices and electrical energy consumption in France.

MoreLess

Year of publication:	2015-04
Authors:	Mingotti, Nicola ; Lillo, Rosa E. ; Romo, Juan
Institutions:	Departamento de Estadistica, Universidad Carlos III de Madrid
Subject:	Autoregressive Process \| FAR(1) \| Unit root \| Bootstrap \| Computational Statistics \| Hypothesis test \| Principal Components

More details

Extent:	application/pdf
Series:	Statistics and Econometrics Working Papers.
Type of publication:	Book / Working Paper
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011272954