For functional time series with physical dependence, we construct confidence bands for its mean function. The physical dependence is a general dependence framework, and it slightly relaxes the conditions of m-approximable dependence. We estimate functional time series mean functions via a spline smoothing technique. Confidence bands have been constructed based on a long-run variance and a strong approximation theorem, which is satisfied with mild regularity conditions. Simulation experiments provide strong evidence that corroborates the asymptotic theories. Additionally, an application to S&P500 index data demonstrates a non-constant volatility mean function at a certain significance level.
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