Simultaneous confidence band for stationary covariance function of dense functional data
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Publication:2293548
DOI10.1016/J.JMVA.2019.104584zbMATH Open1437.62705arXiv1903.05522OpenAlexW2996430513WikidataQ126554915 ScholiaQ126554915MaRDI QIDQ2293548FDOQ2293548
Authors: Jiangyan Wang, Guanqun Cao, Li Wang, L. Yang 
Publication date: 5 February 2020
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Abstract: Inference via simultaneous confidence band is studied for stationary covariance function of dense functional data. A two-stage estimation procedure is proposed based on spline approximation, the first stage involving estimation of all the individual trajectories and the second stage involving estimation of the covariance function through smoothing the empirical covariance function. The proposed covariance estimator is smooth and as efficient as the oracle estimator when all individual trajectories are known. An asymptotic simultaneous confidence band (SCB) is developed for the true covariance function, and the coverage probabilities are shown to be asymptotically correct. Simulation experiments are conducted on the numerical performance of the proposed estimator and SCB. The proposed method is also illustrated by two real data examples.
Full work available at URL: https://arxiv.org/abs/1903.05522
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Nonparametric tolerance and confidence regions (62G15) Functional data analysis (62R10) Stationary stochastic processes (60G10)
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Cited In (19)
- Simultaneous inference for function-valued parameters: a fast and fair approach
- A smooth simultaneous confidence corridor for the mean of sparse functional data
- Inference for sparse and dense functional data with covariate adjustments
- Simultaneous inference for the mean function based on dense functional data
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- A simultaneous confidence band for dense longitudinal regression
- Oracle-efficient confidence envelopes for covariance functions in dense functional data
- Robust simultaneous inference for the mean function of functional data
- Oracally Efficient Global Inference for Variance Function in Nonparametric Regression With Missing Covariates
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- Confidence bands for Horvitz-Thompson estimators using sampled noisy functional data
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