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Testing for independence between functional time series
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DOI：10.1016/j.jeconom.2015.03.030.png)
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Abstract
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Frequently econometricians are interested in verifying a relationship between two or more time series. Such analysis is typically carried out by causality and/or independence tests which have been well studied when the data is univariate or multivariate. Modern data though is increasingly of a high dimensional or functional nature for which Finite dimensional methods are not suitable. In the present paper we develop methodology to check the assumption that data obtained from two functional time series are independent. Our procedure is based on the norms of empirical cross covariance operators and is asymptotically validated when the underlying populations are assumed to be in a class of weakly dependent random functions which include the functional ARMA, ARCH and GARCH processes. (C) 2015 Elsevier B.V. All rights reserved.
Keywords:
Functional observations
Tests for independence
Weak dependence
Long run covariance function
Central limit theorem
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