Partial Separability and Functional Graphical Models for Multivariate Gaussian Processes

TL;DR

This paper introduces a new covariance modeling approach called partial separability for multivariate functional data, enabling the construction of functional Gaussian graphical models that are computationally feasible and effective.

Contribution

It proposes the concept of partial separability for covariance operators, leading to a novel Karhunen-Loève expansion and a practical estimation method using graphical lasso.

Findings

Method performs well in simulations.

Effective in analyzing functional brain connectivity.

Provides a scalable approach for high-dimensional functional data.

Abstract

The covariance structure of multivariate functional data can be highly complex, especially if the multivariate dimension is large, making extensions of statistical methods for standard multivariate data to the functional data setting challenging. For example, Gaussian graphical models have recently been extended to the setting of multivariate functional data by applying multivariate methods to the coefficients of truncated basis expansions. However, a key difficulty compared to multivariate data is that the covariance operator is compact, and thus not invertible. The methodology in this paper addresses the general problem of covariance modeling for multivariate functional data, and functional Gaussian graphical models in particular. As a first step, a new notion of separability for the covariance operator of multivariate functional data is proposed, termed partial separability, leading to a novel Karhunen-Lo\`eve-type expansion for such data. Next, the partial separability structure is shown to be particularly useful in order to provide a well-defined functional Gaussian graphical model that can be identified with a sequence of finite-dimensional graphical models, each of identical fixed dimension. This motivates a simple and efficient estimation procedure through application of the joint graphical lasso. Empirical performance of the method for graphical model estimation is assessed through simulation and analysis of functional brain connectivity during a motor task. %Empirical performance of the method for graphical model estimation is assessed through simulation and analysis of functional brain connectivity during a motor task.