Estimation of the mean of functional time series and a two-sample problem

被引：110

作者：

Horvath, Lajos ^{[1
]}

Kokoszka, Piotr ^{[2
]}

Reeder, Ron ^{[1
]}

机构：

[1] Univ Utah, Salt Lake City, UT USA

[2] Colorado State Univ, Ft Collins, CO 80523 USA

来源：

JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY | 2013年 / 75卷 / 01期

基金：

美国国家科学基金会;

关键词：

Eurodollar futures; Functional data analysis; Long-run variance; Time series; Two-sample problem; LINEAR-MODEL;

D O I：

10.1111/j.1467-9868.2012.01032.x

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

The paper is concerned with inference based on the mean function of a functional time series. We develop a normal approximation for the functional sample mean and then focus on the estimation of the asymptotic variance kernel. Using these results, we develop and asymptotically justify testing procedures for the equality of means in two functional samples exhibiting temporal dependence. Evaluated by means of a simulation study and application to a real data set, these two-sample procedures enjoy good size and power in finite samples.

引用

页码：103 / 122

页数：20

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