6 papers
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…
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…
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…
Inference on common trends in functional time series
Morten Ørregaard 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…