6 papers
Inference on common trends in functional time series
Morten Ãrregaard Nielsen, Won-Ki Seo, Dakyung Seong
We study statistical inference on unit roots and cointegration for time series in a Hilbert space. We develop statistical inference on the number of common stochastic trends embedd…
Asymptotics of ultra-high-dimensional generalized spiked sample covariance matrix
Wonjun Seo
This paper investigates the asymptotics of eigenstructure of sample covariance matrix under the spiked covariance matrix model in ultra-high-dimensional settings, where the dimensi…
Inversion of an analytic operator function through Fredholm quotients and its application
Won-Ki Seo
We characterize the inverse of an analytic Fredholm operator-valued function A(z) near an isolated singularity within a general Banach space framework. Our approach relies on the s…
Testing for integer integration in functional time series
Won-Ki Seo, Han Lin Shang
We develop a statistical testing procedure to examine whether the curve-valued time series of interest is integrated of order d for an integer d. The proposed procedure can disting…
Optimal linear prediction with functional observations: Why you can use a simple post-dimension reduction estimator
Won-Ki Seo
We study the optimal linear prediction of a random function that takes values in an infinite dimensional Hilbert space. We begin by characterizing the mean square prediction error…
Functional Linear Projection and Impulse Response Analysis
Won-Ki Seo, Dakyung Seong
This paper proposes econometric methods for studying how economic variables respond to function-valued shocks. Our methods are developed based on linear projection estimation of pr…