Graphical Principal Component Analysis of Multivariate Functional Time Series

JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION(2024)

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摘要
In this article, we consider multivariate functional time series with a two-way dependence structure: a serial dependence across time points and a graphical interaction among the multiple functions within each time point. We develop the notion of dynamic weak separability, a more general condition than those assumed in literature, and use it to characterize the two-way structure in multivariate functional time series. Based on the proposed weak separability, we develop a unified framework for functional graphical models and dynamic principal component analysis, and further extend it to optimally reconstruct signals from contaminated functional data using graphical-level information. We investigate asymptotic properties of the resulting estimators and illustrate the effectiveness of our proposed approach through extensive simulations. We apply our method to hourly air pollution data that were collected from a monitoring network in China. Supplementary materials for this article are available online.
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关键词
Dynamic functional principal component analysis,Functional time series,Graphical model,Weak separability,Whittle likelihood
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