Quantifying deviations from separability in space-time functional processes

Abstract

The estimation of covariance operators of spatio-temporal data is in many applications only computationally feasible under simplifying assumptions, such as separability of the covariance into strictly temporal and spatial factors. Powerful tests for this assumption have been proposed in the literature. However, as real world systems, such as climate data are notoriously inseparable, validating this assumption by statistical tests, seems inherently questionable. In this paper we present an alternative approach: By virtue of separability measures, we quantify how strongly the data’s covariance operator diverges from a separable approximation. Confidence intervals localize these measures with statistical guarantees. This method provides users with a flexible tool, to weigh the computational gains of a separable model against the associated increase in bias. As separable approximations we consider the established methods of partial traces and partial products, and develop weak convergence principles for the corresponding estimators. Moreover, we also prove such results for estimators of optimal, separable approximations, which are arguably of most interest in applications. In particular we present for the first time statistical inference for this object, which has been confined to estimation previously. Besides confidence intervals, our results encompass tests for approximate separability. All methods proposed in this paper are free of nuisance parameters and do not require computationally expensive resampling procedures. A simulation study underlines the advantages of our approach and its applicability is demonstrated by the investigation of German annual temperature data.