论文标题
测试功能过程的光谱密度算子的平等性
Testing Equality of Spectral Density Operators for Functional Processes
论文作者
论文摘要
考虑了比较两个功能过程的整个二阶结构的问题,并研究了用于测试相应光谱密度运算符相等性的$ l^2 $型统计量。测试统计量在所有频率上都评估了两个估计的光谱密度算子之间的希尔伯特 - 奇数距离。在某些假设下,得出了零假设下的限制分布。引入了一种新型的频域引导方法,这使得比得出的大型高斯近似值更准确地近似测试统计量的分布。在相当一般的条件下,建立了自举程序的渐近有效性,以估计NULL下测试统计量的分布。此外,证明了基于自举的测试的一致性。数值模拟表明,即使对于小样本,基于自举的测试的大小和功率行为也很好。双变量现实生活的功能时间序列的应用说明了提出的方法。
The problem of comparing the entire second order structure of two functional processes is considered and a $L^2$-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.