Testing separability of functional time series

DOI10.1111/JTSA.12302zbMATH Open1401.62147arXiv1801.05466OpenAlexW2963819336WikidataQ129902750 ScholiaQ129902750MaRDI QIDQ4684337FDOQ4684337

Authors: Panayiotis Constantinou, Matthew Reimherr, Piotr Kokoszka 

Publication date: 28 September 2018

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Abstract: We derive and study a significance test for determining if a panel of functional time series is separable. In the context of this paper, separability means that the covariance structure factors into the product of two functions, one depending only on time and the other depending only on the coordinates of the panel. Separability is a property which can dramatically improve computational efficiency by substantially reducing model complexity. It is especially useful for functional data as it implies that the functional principal components are the same for each member of the panel. However such an assumption must be verified before proceeding with further inference. Our approach is based on functional norm differences and provides a test with well controlled size and high power. We establish our procedure quite generally, allowing one to test separability of autocovariances as well. In addition to an asymptotic justification, our methodology is validated by a simulation study. It is applied to functional panels of particulate pollution and stock market data.

Full work available at URL: https://arxiv.org/abs/1801.05466

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zbMATH Keywords

functional datatime seriesspatiotemporal separability

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from spatial processes (62M30)

Cited In (9)

• A test for separability in covariance operators of random surfaces
• Quantifying deviations from separability in space-time functional processes
• Testing separability of space-time functional processes
• A test of weak separability for multi-way functional data, with application to brain connectivity studies
• Testing Relevant Hypotheses in Functional Time Series via Self-Normalization
• Testing for separability of spatial\,-\,temporal covariance functions
• Tests for conditional heteroscedasticity of functional data
• Pivotal tests for relevant differences in the second order dynamics of functional time series
• Testing for stationarity of functional time series in the frequency domain

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