URV's Author/s: Vieu, Philippe Goia, Aldo Bongiorno, Enea

Keywords: Small ball probability, log-Volugram, random processes, complexity class, complexity index, knn estimation, functional data analysis

Abstract: In this paper we study the complexity of a functional data set drawn from particular processes by means of a two-step approach. The first step considers a new graphical tool for assessing to which family the data belong: the main aim is to detect whether a sample comes from a monomial or an exponential family. This first tool is based on a nonparametric kNN estimation of small ball probability. Once the family is specified, the second step consists in evaluating the extent of complexity by estimating some specific indexes related to the assigned family. It turns out that the developed methodology is fully free from assumptions on model, distribution as well as dominating measure. Computational issues are carried out by means of simulations and finally the method is applied to analyse some financial real curves dataset.

Journal publication year: 2018

Publication Type: info:eu-repo/semantics/publishedVersion info:eu-repo/semantics/article