5 papers · 1 filter
Convergence of covariance and spectral density estimates for high-dimensional functional time series
Bufan Li, Xinghao Qiao, Weichi Wu +1
Second-order characteristics including covariance and spectral density functions are fundamentally important for both statistical applications and theoretical analysis in functiona…
Measuring deviations from spherical symmetry
Lujia Bai, Holger Dette
Most of the work on checking spherical symmetry assumptions on the distribution of the -dimensional random vector has its focus on statistical tests for the null hypothesis…
Practically significant change points in high dimension -- measuring signal strength pro active component
Pascal Quanz, Holger Dette
We consider the change point testing problem for high-dimensional time series. Unlike conventional approaches, where one tests whether the difference of the mean vectors before…
Pivotal inference for linear predictions in stationary processes
Holger Dette, Sebastian Kühnert
In this paper we develop pivotal inference for the final (FPE) and relative final prediction error (RFPE) of linear forecasts in stationary processes. Our approach is based on a se…
A portmanteau test for multivariate non-stationary functional time series with an increasing number of lags
Lujia Bai, Holger Dette, Weichi Wu
Multivariate locally stationary functional time series provide a flexible framework for modeling functional data exhibiting both temporal and spatial dependencies while allowing fo…