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arXiv · 2009.07312

A Portmanteau-type test for detecting serial correlation in locally stationary functional time series

Axel Bücher·Holger Dette·Florian Heinrichs
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Abstract

The Portmanteau test provides the vanilla method for detecting serial correlations in classical univariate time series analysis. The method is extended to the case of observations from a locally stationary functional time series. Asymptotic critical values are obtained by a suitable block multiplier bootstrap procedure. The test is shown to asymptotically hold its level and to be consistent against general alternatives.

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Axel Bücher, Holger Dette, Florian Heinrichs. 2020-09-15. A Portmanteau-type test for detecting serial correlation in locally stationary functional time series. https://arxiv.org/abs/2009.07312

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