高维函数时间序列均值检验

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY Accounts of Chemical Research Pub Date : 2024-08-22 DOI:10.1016/j.csda.2024.108040

Lin Yang , Zhenghui Feng , Qing Jiang

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引用次数: 0

摘要

本研究考虑了高维函数时间序列均值的单样本检验和双样本检验。提出的检验建立在发散投影平方和的维度最大正值基础上。使用正态近似法研究了检验统计量的零分布，并研究了备选方案下的渐近行为。该方法对未知形式和幅度的跨序列依赖性具有鲁棒性。为了近似临界值，采用了功能时间序列的 blockwise wild bootstrap 方法。在理论研究和数值研究中，对完全观测数据和部分观测数据都进行了分析。来自模拟研究和 IT 股票数据案例研究的证据证明了该检验方法在实践中的实用性。所提出的方法已在 R 软件包中实现。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Test for the mean of high-dimensional functional time series

The one-sample test and two-sample test for the mean of high-dimensional functional time series are considered in this study. The proposed tests are built on the dimension-wise max-norm of the sum of squares of diverging projections. The null distribution of the test statistics is investigated using normal approximation, and the asymptotic behavior under the alternative is studied. The approach is robust to the cross-series dependence of unknown forms and magnitude. To approximate the critical values, a blockwise wild bootstrap method for functional time series is employed. Both fully and partially observed data are analyzed in theoretical research and numerical studies. Evidence from simulation studies and an IT stock data case study demonstrates the usefulness of the test in practice. The proposed methods have been implemented in a R package.

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.

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