Testing stationarity of functional time series

@inproceedings{Horvth2013TestingSO,
  title={Testing stationarity of functional time series},
  author={Lajos Horv{\'a}th and Piotr Kokoszka and Gregory Rice},
  year={2013}
}
Economic and financial data often take the formof a collection of curves observed consecutively over time. Examples include, intraday price curves, yield and term structure curves, and intraday volatility curves. Such curves can be viewed as a time series of functions. A fundamental issue that must be addressed, before an attempt is made to statistically model such data, is whether these curves, perhaps suitably transformed, forma stationary functional time series. This paper formalizes the… CONTINUE READING
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