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A Random Walk Test for Functional Time Series

Abstract

In this paper we introduce a Random Walk test for Functional Autoregressive Processes of Order One. The test is non parametric, based on Bootstrap and Functional Principal Components. The power of the test is shown through an extensive Montecarlo simulation. We apply the test to two real dataset, Bitcoin prices and electrical energy consumption in France.The authors acknowledge financial support from the Spanish Ministry of Economy and Competition, research project ECO2012-38442

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