Fractionally integrated curve time series with cointegration

Won-Ki Seo; Han Lin Shang

doi:10.1214/24-EJS2290

Fractionally integrated curve time series with cointegration

Won-Ki Seo^*, Han Lin Shang

^*Corresponding author for this work

Department of Actuarial Studies and Business Analytics

Research output: Contribution to journal › Article › peer-review

5 Citations (Scopus)

20 Downloads (Pure)

Abstract

We introduce methods and theory for fractionally cointegrated curve time series. We develop a variance-ratio test to determine the dimensions associated with the nonstationary and stationary subspaces. For each subspace, we apply a local Whittle estimator to estimate the long-memory parameter and establish its consistency. A Monte Carlo study of finite- sample performance is included, along with two empirical applications.

Original language	English
Pages (from-to)	3858 - 3902
Number of pages	45
Journal	Electronic Journal of Statistics
Volume	18
Issue number	2
DOIs	https://doi.org/10.1214/24-EJS2290
Publication status	Published - 9 Oct 2024

Bibliographical note

Version archived for private and non-commercial use with the permission of the author/s and according to publisher conditions. For further rights please contact the publisher.

Keywords

fractional cointegration
long memory time series
functional data
functional principal component analysis
limit theorems

Access to Document

10.1214/24-EJS2290Licence: CC BY

Publisher version (open access)Final published version, 875 KBLicence: CC BY

Cite this

@article{998e213a8fc2433b8bf2122d5eee5795,

title = "Fractionally integrated curve time series with cointegration",

abstract = "We introduce methods and theory for fractionally cointegrated curve time series. We develop a variance-ratio test to determine the dimensions associated with the nonstationary and stationary subspaces. For each subspace, we apply a local Whittle estimator to estimate the long-memory parameter and establish its consistency. A Monte Carlo study of finite- sample performance is included, along with two empirical applications.",

keywords = "fractional cointegration, long memory time series, functional data, functional principal component analysis, limit theorems",

author = "Won-Ki Seo and Shang, \{Han Lin\}",

note = "Version archived for private and non-commercial use with the permission of the author/s and according to publisher conditions. For further rights please contact the publisher.",

year = "2024",

month = oct,

day = "9",

doi = "10.1214/24-EJS2290",

language = "English",

volume = "18",

pages = "3858 -- 3902",

journal = "Electronic Journal of Statistics",

issn = "1935-7524",

publisher = "INST MATHEMATICAL STATISTICS",

number = "2",

}

TY - JOUR

T1 - Fractionally integrated curve time series with cointegration

AU - Seo, Won-Ki

AU - Shang, Han Lin

N1 - Version archived for private and non-commercial use with the permission of the author/s and according to publisher conditions. For further rights please contact the publisher.

PY - 2024/10/9

Y1 - 2024/10/9

N2 - We introduce methods and theory for fractionally cointegrated curve time series. We develop a variance-ratio test to determine the dimensions associated with the nonstationary and stationary subspaces. For each subspace, we apply a local Whittle estimator to estimate the long-memory parameter and establish its consistency. A Monte Carlo study of finite- sample performance is included, along with two empirical applications.

AB - We introduce methods and theory for fractionally cointegrated curve time series. We develop a variance-ratio test to determine the dimensions associated with the nonstationary and stationary subspaces. For each subspace, we apply a local Whittle estimator to estimate the long-memory parameter and establish its consistency. A Monte Carlo study of finite- sample performance is included, along with two empirical applications.

KW - fractional cointegration

KW - long memory time series

KW - functional data

KW - functional principal component analysis

KW - limit theorems

UR - https://www.scopus.com/pages/publications/85207478493

UR - https://purl.org/au-research/grants/arc/DP230102250

UR - https://purl.org/au-research/grants/arc/FT240100338

U2 - 10.1214/24-EJS2290

DO - 10.1214/24-EJS2290

M3 - Article

SN - 1935-7524

VL - 18

SP - 3858

EP - 3902

JO - Electronic Journal of Statistics

JF - Electronic Journal of Statistics

IS - 2

ER -

Fractionally integrated curve time series with cointegration

Abstract

Bibliographical note

Keywords

Access to Document

Other files and links

Fingerprint

Cite this