Functional Spherical Autocorrelation: A Robust Estimate of the Autocorrelation of a Functional Time Series
函数型球面自相关:函数时间序列自相关的稳健估计
We propose a new autocorrelation measure for functional time series that we term spherical autocorrelation. It is based on measuring the average angle between lagged pairs of series after having been projected onto the unit sphere. This new measure enjoys several complimentary advantages compared to existing autocorrelation measures for functional data, since it both 1) describes a notion of sign or direction of serial dependence in the series, and 2) is more robust to…