- Autor
- Berkes, István
- Horváth, Lajos
- Rice, Gregory
- TitelOn the asymptotic normality of kernel estimators of the long run covariance of functional time series
- Datei
- DOI10.1016/j.jmva.2015.11.005
- Erschienen inJournal of Multivariate Analysis
- Band144
- Erscheinungsjahr2016
- Seiten150-175
- LicenceCC BY
- ISSN0047-259X
- Download Statistik1860
- Peer ReviewJa
- AbstractWe consider the asymptotic normality in \(L^2\) of kernel estimators of the long run covari- ance of stationary functional time series. Our results are established assuming a weakly dependent Bernoulli shift structure for the underlying observations, which contains most stationary functional time series models, under mild conditions. As a corollary, we obtain joint asymptotics for functional principal components computed from empirical long run covariance operators, showing that they have the favorable property of being asymptotically independent.
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