Functional data analysis in the Banach space of continuous functions
连续函数 Banach 空间中的函数型数据分析AI 解读 ↓
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AI 根据所提供的论文材料归类:摘要明确研究函数型时间序列,并构造变点检验,分别对应时间序列与结构变化方法。
连续函数 Banach 空间中的函数型数据分析AI 解读 ↓
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Functional data analysis is typically conducted within the $L^{2}$-Hilbert space framework. There is by now a fully developed statistical toolbox allowing for the principled application of the functional data machinery to real-world problems, often based on dimension reduction techniques such as functional principal component analysis. At the same time, there have recently been a number of publications that sidestep dimension reduction steps and focus on a fully functional $L^{2}$-methodology. This paper goes one step further and develops data analysis methodology for functional time series in the space of all continuous functions. The work is motivated by the fact that objects with rather different shapes may still have a small $L^{2}$-distance and are therefore identified as similar when using a $L^{2}$-metric. However, in applications it is often desirable to use metrics reflecting the visualization of the curves in the statistical analysis. The methodological contributions are focused on developing two-sample and change-point tests as well as confidence bands, as these procedures appear to be conducive to the proposed setting. Particular interest is put on relevant differences; that is, on not trying to test for exact equality, but rather for prespecified deviations under the null hypothesis. The procedures are justified through large-sample theory. To ensure practicability, nonstandard bootstrap procedures are developed and investigated addressing particular features that arise in the problem of testing relevant hypotheses. The finite sample properties are explored through a simulation study and an application to annual temperature profiles.
高维函数型时间序列的同时变点推断
We develop a framework for simultaneous change-point inference of high-dimensional functional time series. The observations are modeled as temporally dependent vectors whose coordinates take values in possibly different separable Hilbert spaces, thereby covering a broad class of functional data. Heterogeneous mean changes may occur at coordinate-specific locations, and the contemporaneous dependence across coordinates is left unrestricted. Our procedure is based on…
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具有复杂趋势的非平稳多元时间序列时变相关网络分析
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高维情形下的同时变点检验
Consider $d$ dependent change point tests, each based on a CUSUM-statistic. We provide an asymptotic theory that allows us to deal with the maximum over all test statistics as both the sample size $n$ and $d$ tend to infinity. We achieve this either by a consistent bootstrap or an appropriate limit distribution. This allows for the construction of simultaneous confidence bands for dependent change point tests, and explicitly allows us to determine the location of the change…
SCAN:通过自适应非参数推断依次检测变点
Modern time series are often long, serially dependent, and non-stationary. Existing change-point methods either target specific changes or become computationally intensive when using nonparametric costs on long series. Many also require thresholds to be carefully calibrated under serial dependence. We introduce SCAN, an offline method for detecting multiple distributional change-points in long, serially dependent univariate time series. SCAN compares adjacent windows using…