Pivotal tests for relevant differences in the second order dynamics of functional time series

TL;DR

This paper introduces new frequency domain tests for detecting relevant differences in the second order dynamics of two functional time series, applicable to complex high-resolution data like fMRI.

Contribution

It develops pivotal test procedures for spectral density differences that are robust to nuisance parameters and applicable to dependent functional data.

Findings

Tests converge to Brownian motions under mild conditions

Robust to frequency band choices for energy comparison

Effective in real-world fMRI data analysis

Abstract

Motivated by the need to statistically quantify differences between modern (complex) data-sets which commonly result as high-resolution measurements of stochastic processes varying over a continuum, we propose novel testing procedures to detect relevant differences between the second order dynamics of two functional time series. In order to take the between-function dynamics into account that characterize this type of functional data, a frequency domain approach is taken. Test statistics are developed to compare differences in the spectral density operators and in the primary modes of variation as encoded in the associated eigenelements. Under mild moment conditions, we show convergence of the underlying statistics to Brownian motions and construct pivotal test statistics. The latter is essential because the nuisance parameters can be unwieldy and their robust estimation infeasible, especially if the two functional time series are dependent. In addition to these novel features, the properties of the tests are robust to any choice of frequency band enabling also to compare energy contents at a single frequency. The finite sample performance of the tests are verified through a simulation study and are illustrated with an application to fMRI data.