arXiv 25 Nov 2020 · Statistics — Methodology · publishedJournal of Time Series Analysis (2023)
arXiv:2011.12781 · PDF · DOI · OpenAlex · Extracted main text
Functional principal component analysis (FPCA) has played an important role in the development of functional time series analysis. This note investigates how FPCA can be used to analyze cointegrated functional time series and proposes a modification of FPCA as a novel statistical tool. Our modified FPCA not only provides an asymptotically more efficient estimator of the cointegrating vectors, but also leads to novel FPCA-based tests for examining essential properties of cointegrated functional time series.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Li D, Robinson PM, Shang HL (2022) Nonstationary fractionally integrated functional time series | 0.928 | 4 | 3 | 100% |
| 2 | Chang Y, Kim CS, and Park JY (2016) Nonstationarity in time series of state densities | 0.874 | 18 | 6 | 67% |
| 3 | Nielsen, M, Seo WK, Seong D (2022) Inference on the dimension of the nonstationary subspace in functional time series | 0.784 | 29 | 7 | 48% |
| 4 | Nyblom J, Harvey A (2000) Tests of common stochastic trends | 0.644 | 5 | 2 | 40% |
| 5 | Horváth L, Kokoszka P, and Rice G (2014) Testing stationarity of functional time series | 0.644 | 3 | 2 | 67% |
| 6 | Kokoszka P, Young G (2016) KPSS test for functional time series | 0.585 | 3 | 3 | 33% |
| 7 | Harris D (1997) Principal components analysis of cointegrated time series | 0.561 | 17 | 7 | 18% |
| 8 | Horváth L, Kokoszka P, Reeder R (2013) Estimation of the mean of functional time series and a two-sample problem | 0.511 | 4 | 2 | 25% |
| 9 | Kwiatkowski D, Phillips PCB, Schmidt P, Shin Y (1992) Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series ha… | 0.511 | 4 | 2 | 25% |
| 10 | Saikkonen P (1991) Asymptotically efficient estimation of cointegration regressions | 0.511 | 3 | 2 | 33% |
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