Abstract Multivariate functional data present theoretical and practical complications that are not found in univariate functional data. One of these is a situation where the component functions of multivariate functional data are positive and are subject to mutual time warping. That is, the component processes exhibit a common shape but are subject to systematic phase variation across their domains in addition to subject‐specific time warping, where each subject has its own internal clock. This motivates a novel model for multivariate functional data that connect such mutual time warping to a latent‐deformation‐based framework by exploiting a novel time‐warping separability assumption. This separability assumption allows for meaningful interpretation and dimension reduction. The resulting latent deformation model is shown to be well suited to represent commonly encountered functional vector data. The proposed approach combines a random amplitude factor for each component with population‐based registration across the components of a multivariate functional data vector and includes a latent population function, which corresponds to a common underlying trajectory. We propose estimators for all components of the model, enabling implementation of the proposed data‐based representation for multivariate functional data and downstream analyses such as Fréchet regression. Rates of convergence are established when curves are fully observed or observed with measurement error. The usefulness of the model, interpretations, and practical aspects are illustrated in simulations and with application to multivariate human growth curves and multivariate environmental pollution data.
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Testing separability of functional time series
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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- Award ID(s):
- 1737795
- PAR ID:
- 10097816
- Date Published:
- Journal Name:
- Journal of time series analysis
- Volume:
- 39
- ISSN:
- 0143-9782
- Page Range / eLocation ID:
- 731 - 747
- Format(s):
- Medium: X
- Sponsoring Org:
- National Science Foundation
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