Large-Scale Curve Time Series with Common Stochastic Trends
具有共同随机趋势的大规模曲线时间序列AI 解读 ↓
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具有共同随机趋势的大规模曲线时间序列AI 解读 ↓
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This paper studies high-dimensional curve time series with common stochastic trends. A dual functional factor model structure is adopted with a high-dimensional factor model for the observed curve time series and a low-dimensional factor model for the latent curves with common trends. A functional PCA technique is applied to estimate the common stochastic trends and functional factor loadings. Under some regularity conditions we derive the mean square convergence and limit distribution theory for the developed estimates, allowing the dimension and sample size to jointly diverge to infinity. We propose an easy-to-implement criterion to consistently select the number of common stochastic trends and further discuss model estimation when the nonstationary factors are cointegrated. Extensive Monte-Carlo simulations and two empirical applications to large-scale temperature curves in Australia and log-price curves of S&P 500 stocks are conducted, showing finite-sample performance and providing practical implementations of the new methodology.
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函数型时间序列共同趋势的统计推断
We study statistical inference on unit roots and cointegration for time series in a Hilbert space. We develop statistical inference on the number of common stochastic trends embedded in the time series, that is, the dimension of the nonstationary subspace. We also consider tests of hypotheses on the nonstationary and stationary subspaces themselves. The Hilbert space can be of an arbitrarily large dimension, and our methods remain asymptotically valid even when the time…