Two sample inference for the second-order property of temporally dependent functional data

DOI10.3150/13-BEJ592zbMATH Open1388.62274arXiv1506.00847MaRDI QIDQ2348730FDOQ2348730

Authors: Xianyang Zhang, Xiaofeng Shao 

Publication date: 15 June 2015

Published in: Bernoulli (Search for Journal in Brave)

Abstract: Motivated by the need to statistically quantify the difference between two spatio-temporal datasets that arise in climate downscaling studies, we propose new tests to detect the differences of the covariance operators and their associated characteristics of two functional time series. Our two sample tests are constructed on the basis of functional principal component analysis and self-normalization, the latter of which is a new studentization technique recently developed for the inference of a univariate time series. Compared to the existing tests, our SN-based tests allow for weak dependence within each sample and it is robust to the dependence between the two samples in the case of equal sample sizes. Asymptotic properties of the SN-based test statistics are derived under both the null and local alternatives. Through extensive simulations, our SN-based tests are shown to outperform existing alternatives in size and their powers are found to be respectable. The tests are then applied to the gridded climate model outputs and interpolated observations to detect the difference in their spatial dynamics.

Full work available at URL: https://arxiv.org/abs/1506.00847

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zbMATH Keywords

univariate time seriesSN-based testsspatio-temporal datasets

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited In (22)

• Structural break analysis for spectrum and trace of covariance operators
• Asymptotics, finite-sample comparisons and applications for two-sample tests with functional data
• Detecting relevant differences in the covariance operators of functional time series: a sup-norm approach
• Two-Sample Tests for Relevant Differences in the Eigenfunctions of Covariance Operators
• Quadratic forms of the empirical processes for the two-sample problem for functional data
• Detection of Local Differences in Spatial Characteristics Between Two Spatiotemporal Random Fields
• Nonparametric matrix response regression with application to brain imaging data analysis
• Bootstrapping covariance operators of functional time series
• Detecting relevant changes in the spatiotemporal mean function
• Testing equality of autocovariance operators for functional time series
• Inference for the lagged cross-covariance operator between functional time series
• Detecting structural breaks in eigensystems of functional time series
• Comparison between spatio‐temporal random processes and application to climate model data
• Two-sample and change-point inference for non-Euclidean valued time series
• Pivotal tests for relevant differences in the second order dynamics of functional time series
• Robust nonparametric hypothesis tests for differences in the covariance structure of functional data
• Wasserstein autoregressive models for density time series
• Testing equality of spectral density operators for functional processes
• Inference for the autocovariance of a functional time series under conditional heteroscedasticity
• Evaluating Proxy Influence in Assimilated Paleoclimate Reconstructions—Testing the Exchangeability of Two Ensembles of Spatial Processes
• Testing the structural stability of temporally dependent functional observations and application to climate projections
• A similarity measure for second order properties of non-stationary functional time series with applications to clustering and testing

Uses Software

• fda (R)

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