The Annals of Statistics

Identifying the finite dimensionality of curve time series

Neil Bathia, Qiwei Yao, and Flavio Ziegelmann

Full-text: Open access

Abstract

The curve time series framework provides a convenient vehicle to accommodate some nonstationary features into a stationary setup. We propose a new method to identify the dimensionality of curve time series based on the dynamical dependence across different curves. The practical implementation of our method boils down to an eigenanalysis of a finite-dimensional matrix. Furthermore, the determination of the dimensionality is equivalent to the identification of the nonzero eigenvalues of the matrix, which we carry out in terms of some bootstrap tests. Asymptotic properties of the proposed method are investigated. In particular, our estimators for zero-eigenvalues enjoy the fast convergence rate n while the estimators for nonzero eigenvalues converge at the standard √n-rate. The proposed methodology is illustrated with both simulated and real data sets.

Article information

Source
Ann. Statist. Volume 38, Number 6 (2010), 3352-3386.

Dates
First available: 30 November 2010

Permanent link to this document
http://projecteuclid.org/euclid.aos/1291126960

Digital Object Identifier
doi:10.1214/10-AOS819

Zentralblatt MATH identifier
1204.62152

Mathematical Reviews number (MathSciNet)
MR2766855

Subjects
Primary: 62M10: Time series, auto-correlation, regression, etc. [See also 91B84] 62H30: Classification and discrimination; cluster analysis [See also 68T10, 91C20]
Secondary: 60G99: None of the above, but in this section

Keywords
Autocovariance curve time series dimension reduction eigenanalysis Karhunen–Loéve expansion n convergence rate root-n convergence rate

Citation

Bathia, Neil; Yao, Qiwei; Ziegelmann, Flavio. Identifying the finite dimensionality of curve time series. The Annals of Statistics 38 (2010), no. 6, 3352--3386. doi:10.1214/10-AOS819. http://projecteuclid.org/euclid.aos/1291126960.


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