- Series
- Mathematical Finance/Financial Engineering Seminar
- Time
- Tuesday, October 27, 2009 - 3:00pm for 1 hour (actually 50 minutes)
- Location
- Skiles 269
- Speaker
- Piotr Kokoszka – Utah State University
- Organizer
- Liang Peng
The functional autoregressive process
has become a useful tool in the analysis of functional time series
data. In this model, the observations and the errors are curves,
and the role of the autoregressive coefficient is played by
an integral operator.
To ensure meaningful inference and prediction,
it is important to verify that this operator
does not change with time. We propose a method for testing
its constancy which uses the
functional principal component analysis. The test statistic is
constructed to have a Kiefer type asymptotic distribution. The
asymptotic justification of the procedure is very delicate and
touches upon central notions of functional data analysis.
The test is implemented using the
R package fda. Its finite sample performance is
illustrated by an application to credit card transaction data.