Testing separability of space-time functional processes

• 成果类型: Article
• 署名作者: Constantinou, P.; Kokoszka, P.; Reimherr, M.
• 署名单位: Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; Colorado State University System; Colorado State University Fort Collins; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
• 刊物名称: BIOMETRIKA
• ISSN/ISSBN: 0006-3444
• DOI: 10.1093/biomet/asx013
• 发表日期: 2017
• 页码: 425437
• 关键词: spatially indexed curves; likelihood ratio test; covariance

摘要

Separability is a common simplifying assumption on the covariance structure of spatiotemporal functional data. We present three tests of separability, one a functional extension of the Monte Carlo likelihood method of Mitchell et al. (2006) and two based on quadratic forms. Our tests are based on asymptotic distributions of maximum likelihood estimators and do not require Monte Carlo simulation. The main theoretical contribution of this paper is the specification of the joint asymptotic distribution of these estimators, which can be used to derive many other tests. The main methodological finding is that one of the quadratic form methods, which we call a norm approach, emerges as a clear winner in terms of finite-sample performance in nearly every setting we considered. This approach focuses directly on the Frobenius distance between the spatiotemporal covariance function and its separable approximation. We demonstrate the efficacy of our methods via simulations and application to Irish wind data.