Determining the order of the functional autoregressive model

Piotr Kokoszka, Matthew Reimherr

Research output: Contribution to journalArticle

17 Scopus citations

Abstract

We propose a multistage testing procedure to determine the order p of a functional autoregressive process, FAR (p). At its core is the representation of the FAR(p) process as a fully functional linear model with dependent regressors. Estimating the kernel function in this linear model allows us to construct a test statistic which has, approximately, a chi-square distribution with the number of degrees of freedom determined by the number of functional principal components used to represent the data. The asymptotic justification relies on the concept of Lp-m-approximability which quantifies the temporal dependence of functional time series. The procedure enjoys very good finite sample properties, as confirmed by a simulation study and applications to functional time series derived from credit card transactions and Eurodollar futures data.

Original languageEnglish (US)
Pages (from-to)116-129
Number of pages14
JournalJournal of Time Series Analysis
Volume34
Issue number1
DOIs
Publication statusPublished - Jan 1 2013

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All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Statistics, Probability and Uncertainty
  • Applied Mathematics

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