School Seminars and Colloquia

Identifying the finite dimensionality of curve time series

Statistics Seminar

by Neil Bathia


Institution: Department of Mathematics and Statistics, The University of Melbourne
Date: Wed 23rd June 2010
Time: 1:00 PM
Location: James Hardie Theatre, Architecture Building, The University of Melbourne

Abstract: The curve time series framework provides a convenient vehicle to accommodate some nonstationary features into a stationary setup. We propose a new method to identify the dimensionality of curve time series based on the dependence between adjacent curves. The practical implementation of our method boils down to eigenanalysis of a real matrix. Furthermore, determination of the dimensionality is equivalent to identifying the number of non-zero eigenvalues of this matrix, which we carry out in terms of some bootstrap tests. Asymptotic properties of the proposed method are investigated. In particular, our estimators of the zero-eigenvalues enjoy the fast convergence rate n while the estimators of the non-zero eigenvalues converge at the standard root-n rate. The proposed methodology is illustrated with both simulated and real data sets.

For More Information: contact: Neil Bathia. email: nbathia@unimelb.edu.au