A goodness-of-fit test for functional time series with applications to Ornstein-Uhlenbeck processes
函数型时间序列的拟合优度检验及其在 Ornstein–Uhlenbeck 过程中的应用
High-frequency financial data can be collected as a sequence of curves over time; for example, as intra-day price, currently one of the topics of greatest interest in finance. The Functional Data Analysis framework provides a suitable tool to extract the information contained in the shape of the daily paths, often unavailable from classical statistical methods. In this paper, a novel goodness-of-fit test for autoregressive Hilbertian (ARH) models, with unknown and general…