A Wavelet-Based Independence Test for Functional Data With an Application to MEG Functional Connectivity

Measuring and testing the dependency between multiple random functions is often an important task in functional data analysis. In the literature, a model-based method relies on a model which is subject to the risk of model misspecification, while a model-free method only provides a correlation measure which is inadequate to test independence. In this paper, we adopt the Hilbert-Schmidt Independence Criterion (HSIC) to measure the dependency between two random functions. We develop a two-step procedure by first pre-smoothing each function based on its discrete and noisy measurements and then applying the HSIC to recovered functions. To ensure the compatibility between the two steps such that the effect of the pre-smoothing error on the subsequent HSIC is asymptotically negligible when the data are densely measured, we propose a new wavelet thresholding method for pre-smoothing and to use Besov-norm-induced kernels for HSIC. We also provide the corresponding asymptotic analysis. The superior numerical performance of the proposed method over existing ones is demonstrated in a simulation study. Moreover, in a magnetoencephalography (MEG) data application, the functional connectivity patterns identified by the proposed method are more anatomically interpretable than those by existing methods.

Automated summary

In this paper, the authors propose a two-step procedure to measure the dependency between two random functions using the Hilbert-Schmidt Independence Criterion (HSIC). They also introduce a new wavelet thresholding method for pre-smoothing and use Besov-norm-induced kernels for HSIC. The proposed method demonstrates superior numerical performance and interpretability in both simulation and magnetoencephalography (MEG) data applications.