Testing Equality of Spectral Density Operators for Functional Processes
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Publication:6338283
DOI10.1016/J.JMVA.2021.104889arXiv2004.03412MaRDI QIDQ6338283
Theofanis Sapatinas, Daniel Rademacher, Efstathios Paparoditis, Anne Leucht
Publication date: 5 April 2020
Abstract: The problem of comparing the entire second order structure of two functional processes is considered and a -type statistic for testing equality of the corresponding spectral density operators is investigated. The test statistic evaluates, over all frequencies, the Hilbert-Schmidt distance between the two estimated spectral density operators. Under certain assumptions, the limiting distribution under the null hypothesis is derived. A novel frequency domain bootstrap method is introduced, which leads to a more accurate approximation of the distribution of the test statistic under the null than the large sample Gaussian approximation derived. Under quite general conditions, asymptotic validity of the bootstrap procedure is established for estimating the distribution of the test statistic under the null. Furthermore, consistency of the bootstrap-based test under the alternative is proved. Numerical simulations show that, even for small samples, the bootstrap-based test has a very good size and power behavior. An application to a bivariate real-life functional time series illustrates the methodology proposed.
Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Functional data analysis (62R10) Hypothesis testing in multivariate analysis (62H15) Inference from stochastic processes and spectral analysis (62M15) Nonparametric statistical resampling methods (62G09)
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