Statistics Seminar

Han Lin Australian National University
Estimations of long-run covariance and long-memory parameter in stationary functional time series

Wednesday, March 21, 2018 - 4:15pm
Biotech G01

Abstract: In arenas of application including environmental science, economics, and medicine, it is increasingly common to consider time series of curves or functions. Many inferential procedures employed in the analysis of such data involve the long-run covariance function, which is analogous to the long-run covariance matrix familiar to finite-dimensional time series analysis and econometrics. I present a kernel sandwich estimator for estimating the long-run covariance. From estimated long-run covariance, I study the estimation of a long-memory parameter in a long-range dependent functional time series.