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

Author

Listed:
  • Axel Bücher

    (Heinrich-Heine-Universität Düsseldorf)

  • Holger Dette

    (Ruhr-Universität Bochum)

  • Florian Heinrichs

    (Ruhr-Universität Bochum)

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.

Suggested Citation

  • Axel Bücher & Holger Dette & Florian Heinrichs, 2023. "A portmanteau-type test for detecting serial correlation in locally stationary functional time series," Statistical Inference for Stochastic Processes, Springer, vol. 26(2), pages 255-278, July.
    • Handle: RePEc:spr:sistpr:v:26:y:2023:i:2:d:10.1007_s11203-022-09285-5
    DOI: 10.1007/s11203-022-09285-5
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    References listed on IDEAS

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