Papers › A nonlinearity and model specification test for functional time series
A nonlinearity and model specification test for functional time series
Xin Huang, Han Lin Shang, Tak Kuen Siu
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An important issue in functional time series analysis is whether an observed series comes from a purely random process. We extend the BDS test, a widely-used nonlinear independence test, to the functional time series. Like the BDS test in the univariate case, the functional BDS test can act as the model specification test to evaluate the adequacy of various prediction models and as a nonlinearity test to detect the existence of nonlinear structures in a functional time series after removing the linear structure exhibited. We show that the test statistic from the functional BDS test has the same asymptotic properties as those in the univariate case and provides the recommended range of its hyperparameters. Additionally, empirical data analysis features its applications in evaluating the adequacy of the fAR(1) and fGARCH(1,1) models in fitting the daily curves of cumulative intraday returns (CIDR) of the VIX index. We showed that the functional BDS test remedies the weakness of the existing independence test in the literature, as the latter is restricted in detecting linear structures, thus, can neglect nonlinear temporal structures.
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