Publication:
A Random Walk Test for Functional Time Series

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URI: http://hdl.handle.net/10016/20585
ISSN: 2387-0303
UXXI: DT/0000001361
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ws1506.pdf (1.03 MB)
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2015-04-01
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Abstract
In this paper we introduce a Random Walk test for Functional Autoregressive Processes of Order One. The test is non parametric, based on Bootstrap and Functional Principal Components. The power of the test is shown through an extensive Montecarlo simulation. We apply the test to two real dataset, Bitcoin prices and electrical energy consumption in France.
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Autoregressive Process, FAR(1), Unit root, Bootstrap, Computational Statistics, Hypothesis test, Principal Components
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DES - Working Papers. Statistics and Econometrics. WS