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FTSgof: White noise and goodness-of-fit tests for functional time series in R

Mihyun Kim, Chi-Kuang Yeh, Gregory Rice, Yuqian Zhao

October 07, 2024

CRAN status CRAN download

Description

Implementation of the robust tools to 1) visualize and perform inference on the autocorrelation structure of time series of functional data objects, and 2) perform goodness-of-fit tests for popular functional time series models.

Installation

FTSgof is now available on CRAN. You may install it by typing

install.packages("FTSgof")

or you may download the develop version by first installing the R devtools package then run

devtools::install_github("veritasmih/FTSgof")

TODO

  • Add a vignette
  • Add descriptions and examples in README

Reference

All the implementation and theory are based on the following papers:

  • Kim, M., Rice, G, Zhao, Y and Yeh, C.-K. (2024+) FTSgof: White noise and goodness-of-fit tests for functional time series in R. Under review.

The associated papers are:

  1. Aue, A., Horváth, L., and F. Pellatt, D. (2017). Functional generalized autoregressive conditional heteroskedasticity. Journal of Time Series Analysis, 38, 3-21.

  2. Kim, M., Kokoszka, P., and Rice, G. (2023). White noise testing for functional time series. Statistic Surveys, 17, 119-168.

  3. Kokoszka, P., Rice, G., and Shang, H. L. (2017). Inference for the autocovariance of a functional time series under conditional heteroscedasticity. Journal of Multivariate Analysis, 162, 32-50.

  4. Mestre, G., Portela, J., Rice, G., San Roque, A. M., and Alonso, E. (2021). Functional time series model identification and diagnosis by means of auto-and partial autocorrelation analysis. Computational statistics & data analysis, 155, 107108.

  5. Rice, G., Wirjanto, T., and Zhao, Y. (2020). Tests for conditional heteroscedasticity of functional data. Journal of Time Series Analysis, 41, 733-758.

  6. Yeh, C. K., Rice, G., and Dubin, J.A. (2023). Functional spherical autocorrelation: A robust estimate of the autocorrelation of a functional time series. Electronic Journal of Statistics, 17, 650-687.