SMS scnews item created by Shelton Peiris at Fri 8 Mar 2019 1132
Type: Seminar
Distribution: World
Expiry: 9 Mar 2019
Calendar1: 8 Mar 2019 1400-1500
CalLoc1: Carslaw 373
Auth: shelton(.ststaff;3022.3001)@p819.pc.maths.usyd.edu.au

# Statistics Seminar: Peter Robinson -- Long-Range Dependent Curve Time Series

We introduce methods and theory for functional or curve time series with long range
dependence. The temporal sum of the curve process is shown to be asymptotically normally
distributed, the conditions for this covering a functional version of fractionally
integrated autoregressive moving averages. We also construct an estimate of the long-run
covariance function, which we use, via functional principal component analysis, in
estimating the orthonormal functions spanning the dominant sub-space of the curves.
In a semiparametric context, we propose an estimate of the memory parameter and establish
its consistency. A Monte-Carlo study of finite sample performance is included, along
with two empirical applications. The first of these finds a degree of stability and
persistence in intra-day stock returns. The second finds similarity in the extent of
long memory in incremental age-specific fertility rates across some developed nations.

*joint work with Degui Li and Han Lin Shang.


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