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Minimax optimal procedures for testing the structure of multidimensional functions

Published version
Peer-reviewed

Type

Article

Change log

Authors

Aston, J 
Autin, F 
Claeskens, G 
Freyermuth, J-M 
Pouet, C 

Abstract

We present a novel method for detecting some structural characteristics of multidimensional functions. We consider the multidimensional Gaussian white noise model with an anisotropic estimand. Using the relation between the Sobol decomposition and the geometry of multidimensional wavelet basis we can build test statistics for any of the Sobol functional components. We assess the asymptotical minimax optimality of these test statistics and show that they are optimal in presence of anisotropy with respect to the newly determined minimax rates of separation. An appropriate combination of these test statistics allows to test some general structural characteristics such as the atomic dimension or the presence of some variables. Numerical experiments show the potential of our method for studying spatio-temporal processes.

Description

Keywords

adaptation, anisotropy, atomic dimension, Besov spaces, Gaussian noise model, hyperbolic wavelets, hypothesis testing, minimax rate, Sobol decomposition, structural modeling

Journal Title

Applied and Computational Harmonic Analysis

Conference Name

Journal ISSN

1063-5203

Volume Title

Publisher

Elsevier
Sponsorship
Engineering and Physical Sciences Research Council (EP/K021672/2)
G. Claeskens and J.-M. Freyermuth acknowledge the support of the Fund for Scientific Research Flanders, KU Leuven grant GOA/12/14 and of the IAP Research Network P7/06 of the Belgian Science Policy. Jean-Marc Freyermuth's and John Aston's research was supported by the Engineering and Physical Sciences Research Council [EP/K021672/2].