Detecting a Structural Change in Functional Time Series Using Local Wilcoxon Statistic

Abstract

Functional data analysis (FDA) is a part of modern multivariate statistics that analyses data providing information about curves, surfaces or anything else varying over a certain continuum. In economics and empirical finance we often have to deal with time series of functional data, where we cannot easily decide, whether they are to be considered as homogeneous or heterogeneous. At present a discussion on adequate tests of homogenity for functional data is carried. We propose a novel statistic for detetecting a structural change in functional time series based on a local Wilcoxon statistic induced by a local depth function proposed by Paindaveine and Van Bever (2013).