On the asymptotic normality of kernel estimators of the long run covariance of functional time series

Berkes, István and Horváth, L. and Rice, G. (2016) On the asymptotic normality of kernel estimators of the long run covariance of functional time series. JOURNAL OF MULTIVARIATE ANALYSIS, 144. pp. 150-175. ISSN 0047-259X

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Abstract

We consider the asymptotic normality in L2 of kernel estimators of the long run covariance of stationary functional time series. Our results are established assuming a weakly dependent Bernoulli shift structure for the underlying observations, which contains most stationary functional time series models, under mild conditions. As a corollary, we obtain joint asymptotics for functional principal components computed from empirical long run covariance operators, showing that they have the favorable property of being asymptotically independent.

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