Seminário
UFSCar/USP ? 27/05/2011 - 14h00
LOCAL:
Sala
de seminários do DEs - UFSCar
TITLE: Identifying the Finite Dimensionality of Curve Time Series
Analysis: An Application to Financial Returns
SPEAKER: Flávio Augusto Ziegelmann - UFRGS
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
dynamical dependence across different curves.
The practical implementation of
our method boils down to na eigenanalysis of a finite-dimensional matrix.
Furthermore, the determination of the dimensionality is equivalent to
theidentification of the non-zero eigenvalues of the matrix, which we carry out
in terms of some bootstrap tests. Asymptotic properties of the proposed method
are investigated. In particular, our estimators for zero-eigenvalues enjoy the
fast convergence rate $n$ while the estimators for non-zero eigenvalues converge
at the standard $\sqrt n$-rate. The proposed methodology is illustrated with
both simulated and real financial data
sets.