Covariance Estimation for Random Surfaces beyond Separability

This thesis focuses on non-parametric covariance estimation for random surfaces, i.e.~functional data on a two-dimensional domain. Non-parametric covariance estimation lies at the heart of functional data analysis, and considerations of statistical and computational efficiency often compel the use of separability of the covariance, when working with random surfaces. We seek to provide efficient alternatives to this ambivalent assumption.

In Chapter 2, we study a setting where the covariance structure may fail to be separable locally -- either due to noise contamination or due to the presence of a non-separable short-range dependent signal component. That is, the covariance is an additive perturbation of a separable component by a non-separable but banded component. We introduce non-parametric estimators hinging on shifted partial tracing -- a novel concept enjoying strong denoising properties. We illustrate the usefulness of the proposed methodology on a data set of mortality surfaces.

In Chapter 3, we propose a distinctive decomposition of the covariance, which allows us to understand separability as an unconventional form of low-rankness. From this perspective, a separable covariance has rank one. Allowing for a higher rank suggests a structured class in which any covariance can be approximated up to an arbitrary precision. The key notion of the partial inner product allows us to generalize the power iteration method to general Hilbert spaces and estimate the aforementioned decomposition from data. Truncation and retention of the leading terms automatically induces a non-parametric estimator of the covariance, whose parsimony is dictated by the truncation level. Advantages of this approach, allowing for estimation beyond separability, are demonstrated on the task of classification of EEG signals.

While Chapters 2 and 3 propose several generalizations of separability in the densely sampled regime, Chapter 4 deals with the sparse regime, where the latent surfaces are observed only at few irregular locations. Here, a separable covariance estimator based on local linear smoothers is proposed, which is the first non-parametric utilization of separability in the sparse regime. The assumption of separability reduces the intrinsically four-dimensional smoothing problem into several two-dimensional smoothers and allows the proposed estimator to retain the classical minimax-optimal convergence rate for two-dimensional smoothers. The proposed methodology is used for a qualitative analysis of implied volatility surfaces corresponding to call options, and for prediction of the latent surfaces based on information from the entire data set, allowing for uncertainty quantification. Our quantitative results show that the proposed methodology outperforms the common approach of pre-smoothing every implied volatility surface separately.

Throughout the thesis, we put emphasis on computational aspects, since those are the main reason behind the immense popularit