Testing separability of functional time series

DOI10.1111/JTSA.12302MaRDI QIDQ4684337zbMATH OpenOpenAlexWikidataFDO

Authors Panayiotis Constantinou, Matthew Reimherr, Piotr Kokoszka

Publication date 28 September 2018

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

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

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)

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.

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(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
• Testing for stationarity of functional time series in the frequency domain
• Pivotal tests for relevant differences in the second order dynamics of functional time series

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