Local Whittle estimation for distributional time series: A regularization framework in Bayes Hilbert space
Abstract
We study local Whittle estimation of long memory in density-valued time series in Bayes Hilbert space. The centered log-ratio (clr) transformation maps densities to a linear Hilbert space, allowing analysis using standard Hilbert space methods. When densities are reconstructed from finite samples, however, small absolute estimation errors can remain large relative to the true density in low-density tails. Taking logarithms can amplify this noise and introduce systematic distortions that affect memory estimation. We develop a framework for regularizing estimated densities before transformation to improve finite-sample performance while preserving the latent memory target. Using the clr representation, we apply local Whittle estimation to principal component scores along an estimated leading direction of the long-run covariance operator. The framework is based on local Whittle admissibility, defined by uniform asymptotic equivalence between the feasible and latent-score criteria. We separate density-estimation error from the population perturbation induced by regularization and give sufficient admissibility conditions based on density-estimation rates and the temporal dependence of the error components. Under suitable regularity assumptions, these conditions yield consistency for the latent memory parameter. We study additional tail smoothing, a vanishing density floor, and their combination. Monte Carlo experiments show that these procedures can reduce finite-sample bias relative to unregularized kernel density reconstruction. An application to daily distributions of intraday EUR/USD exchange rate returns illustrates the methodology.
Related
- Smoothness estimation for Whittle–Matérn processes on closed Riemannian manifolds
- Optimal distributional estimates of the multiple Hilbert transform
- Orthogonal Inference for Conditional Z-Estimation without Cross-Fitting: A Distributional Nearest-Neighbor Approach
- Variational Inference and Error Estimation for Inverse Heat Dissipation Models with Quasi-Reversibility Regularization
- Agentic Distributional Regression: Conditional Density Estimation through Agent-Written Programs
BibTeX
@misc{seo2026local,
title = {{Local Whittle estimation for distributional time series: A regularization framework in Bayes Hilbert space}},
author = {Won-Ki Seo and Jiazhen Xu and Han Lin Shang},
howpublished = {arXiv},
year = {2026},
month = nov,
doi = {10.48550/arxiv.2611.05765},
eprint = {2611.05765},
archivePrefix = {arXiv},
url = {https://arxiv.org/abs/2611.05765},
}
RIS
TY - UNPB
TI - Local Whittle estimation for distributional time series: A regularization framework in Bayes Hilbert space
AU - Won-Ki Seo
AU - Jiazhen Xu
AU - Han Lin Shang
PY - 2026
DA - 2026/11/04
PB - arXiv
DO - 10.48550/arxiv.2611.05765
UR - https://arxiv.org/abs/2611.05765
AB - We study local Whittle estimation of long memory in density-valued time series in Bayes Hilbert space. The centered log-ratio (clr) transformation maps densities to a linear Hilbert space, allowing analysis using standard Hilbert space methods. When densities are reconstructed from finite samples, however, small absolute estimation errors can remain large relative to the true density in low-density tails. Taking logarithms can amplify this noise and introduce systematic distortions that affect memory estimation. We develop a framework for regularizing estimated densities before transformation to improve finite-sample performance while preserving the latent memory target. Using the clr representation, we apply local Whittle estimation to principal component scores along an estimated leading direction of the long-run covariance operator. The framework is based on local Whittle admissibility, defined by uniform asymptotic equivalence between the feasible and latent-score criteria. We separate density-estimation error from the population perturbation induced by regularization and give sufficient admissibility conditions based on density-estimation rates and the temporal dependence of the error components. Under suitable regularity assumptions, these conditions yield consistency for the latent memory parameter. We study additional tail smoothing, a vanishing density floor, and their combination. Monte Carlo experiments show that these procedures can reduce finite-sample bias relative to unregularized kernel density reconstruction. An application to daily distributions of intraday EUR/USD exchange rate returns illustrates the methodology.
ER -