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Long-Range Dependent Curve Time Series

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JournalJournal of the American Statistical Association
DateAccepted/In press - 10 Mar 2019
DateE-pub ahead of print (current) - 30 May 2019
Number of pages16
Pages (from-to)1-16
Early online date30/05/19
Original languageEnglish

Abstract

We introduce methods and theory for functional or curve time series with long-range dependence. The temporal sum of the curve process is shown to be asymptotically normally distributed, the conditions for this covering a functional version of fractionally integrated autoregressive moving averages. We also construct an estimate of the long-run covariance function, which we use, via functional principal component analysis, in estimating the orthonormal functions spanning the dominant sub-space of the curves. In a semiparametric context, we propose an estimate of the memory parameter and establish its consistency. A Monte-Carlo study of finite-sample performance is included, along with two empirical applications. The first of these finds a degree of stability and persistence in intra-day stock returns. The second finds similarity in the extent of long memory in incremental age-specific fertility rates across some developed nations.

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© 2019 American Statistical Association. This is an author-produced version of the published paper. Uploaded in accordance with the publisher’s self-archiving policy. Further copying may not be permitted; contact the publisher for details.

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