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W. González-Manteiga

Publications and source records attributed to W. González-Manteiga.

4 recordsLinked to original sources

Testing the goodness-of-fit of a functional autoregressive model

The proposed Goodness--of--Fit (GoF) test for checking the linear autocorrelation model in a functional time series is based on an empirical process, whose residual marks and covariate index set are in a separable Hilbert space \mathbb{H}. A functional central limit theorem is derived providing the convergence of the empirical process to a time-changed Wiener process evaluated in a separable Hilbert space \mathbb{H}, with subordinator given by the marginal probability of the involved strictly stationary Autoregressive Hilbertian process (AR\mathbb{H}(1) process). The large sample behavior of the test statistics is obtained under simple and composite null hypotheses. The consistency of the test is addressed under simple null hypothesis. The finite-sample performance of the testing procedure, under different families of alternatives, and random projection schemes, is illustrated in the Appendix.

math.ST↗

A goodness-of-fit test for functional time series with applications to Ornstein-Uhlenbeck processes

High-frequency financial data can be collected as a sequence of curves over time; for example, as intra-day price, currently one of the topics of greatest interest in finance. The Functional Data Analysis framework provides a suitable tool to extract the information contained in the shape of the daily paths, often unavailable from classical statistical methods. In this paper, a novel goodness-of-fit test for autoregressive Hilbertian (ARH) models, with unknown and general order, is proposed. The test imposes just the Hilbert-Schmidt assumption on the functional form of the autocorrelation operator, and the test statistic is formulated in terms of a Cramér-von Mises norm. A wild bootstrap resampling procedure is used for calibration, such that the finite sample behavior of the test, regarding power and size, is checked via a simulation study. Furthermore, we also provide a new specification test for diffusion models, such as Ornstein-Uhlenbeck processes, illustrated with an application to intra-day currency exchange rates. In particular, a two-stage methodology is proffered: firstly, we check if functional samples and their past values are related via ARH(1) model; secondly, under linearity, we perform a functional F-test.

stat.ME↗

Testing first-order intensity model in non-homogeneous Poisson point processes with covariates

Modelling the first-order intensity function is one of the main aims in point process theory, and it has been approached so far from different perspectives. One appealing model describes the intensity as a function of a spatial covariate. In the recent literature, estimation theory and several applications have been developed assuming this model, but without formally checking this assumption. In this paper we address this problem for a non-homogeneous Poisson point process, by proposing a new test based on an $L^2$-distance. We also prove the asymptotic normality of the statistic and we suggest a bootstrap procedure to accomplish the calibration. Two applications with real data are presented and a simulation study to better understand the performance of our proposals is accomplished. Finally some possible extensions of the present work to non-Poisson processes and to a multi-dimensional covariate context are detailed.

stat.ME↗

Bootstrapping kernel intensity estimation for nonhomogeneous point processes depending on spatial covariates

In the spatial point process context, kernel intensity estimation has been mainly restricted to exploratory analysis due to its lack of consistency. Different methods have been analysed to overcome this problem, and the inclusion of covariates resulted to be one possible solution. In this paper we focus on de\-fi\-ning a theoretical framework to derive a consistent kernel intensity estimator using covariates, as well as a consistent smooth bootstrap procedure. We define two new data-driven bandwidth selectors specifically designed for our estimator: a rule-of-thumb and a plug-in bandwidth based on our consistent bootstrap method. A simulation study is accomplished to understand the performance of our proposals in finite samples. Finally, we describe an application to a real data set consisting of the wildfires in Canada during June 2015, using meteorological information as covariates.

stat.ME↗