Simultaneous confidence band for stationary covariance function of dense functional data
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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.
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Cited in
(19)- Simultaneous inference for function-valued parameters: a fast and fair approach
- Inference for sparse and dense functional data with covariate adjustments
- A smooth simultaneous confidence corridor for the mean of sparse functional data
- Simultaneous inference for the mean function based on dense functional data
- From multivariate to functional data analysis: fundamentals, recent developments, and emerging areas
- 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
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