Testing covariance separability for continuous functional data

Analyzing the covariance structure of data is a fundamental task of statistics. While this task is simple for low‐dimensional observations, it becomes challenging for more intricate objects, such as multi‐variate functions. Here, the covariance can be so complex that just saving a non‐parametric estimate is impractical and structural assumptions are necessary to tame the model. One popular assumption for space‐time data is separability of the covariance into purely spatial and temporal factors. In this article, we present a new test for separability in the context of dependent functional time series. While most of the related work studies functional data in a Hilbert space of square integrable functions, we model the observations as objects in the space of continuous functions equipped with the supremum norm. We argue that this (mathematically challenging) setup enhances interpretability for users and is more in line with practical preprocessing. Our test statistic measures the maximal deviation between the estimated covariance kernel and a separable approximation. Critical values are obtained by a non‐standard multiplier bootstrap for dependent data. We prove the statistical validity of our approach and demonstrate its practicability in a simulation study and a data example.

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Publication Details

Journal
Journal of Time Series Analysis
Published
2024-08-11
DOI
https://doi.org/10.1111/jtsa.12764
Primary Topic
Statistical Methods and Inference
Type
article
Field-Weighted Citation Impact
0.00

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article

Testing covariance separability for continuous functional data

Tim Kutta, Holger Dette, Gauthier Dierickx
Journal of Time Series Analysis
Statistical Methods and Inference
article

Testing covariance separability for continuous functional data

Tim Kutta, Holger Dette, Gauthier Dierickx
article en

Abstract

Analyzing the covariance structure of data is a fundamental task of statistics. While this task is simple for low‐dimensional observations, it becomes challenging for more intricate objects, such as multi‐variate functions. Here, the covariance can be so complex that just saving a non‐parametric estimate is impractical and structural assumptions are necessary to tame the model. One popular assumption for space‐time data is separability of the covariance into purely spatial and temporal factors. In this article, we present a new test for separability in the context of dependent functional time series. While most of the related work studies functional data in a Hilbert space of square integrable functions, we model the observations as objects in the space of continuous functions equipped with the supremum norm. We argue that this (mathematically challenging) setup enhances interpretability for users and is more in line with practical preprocessing. Our test statistic measures the maximal deviation between the estimated covariance kernel and a separable approximation. Critical values are obtained by a non‐standard multiplier bootstrap for dependent data. We prove the statistical validity of our approach and demonstrate its practicability in a simulation study and a data example.

Journal of Time Series AnalysisVol. 46(3)
Ruhr University Bochum (DE)
Deutsche Forschungsgemeinschaft
Openalex Percentile: Top 86%
Statistical Methods and Inference
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Testing covariance separability for continuous functional data — Tim Kutta, Holger Dette, et al. · Journal of Time Series Analysis (2024) | TGRS Research Map | TGRS