A Further Study of an $L^2$-norm Based Test for the Equality of Several Covariance Functions

Abstract: For the multi-sample equal covariance function (ECF) testing problem, Zhang (2013) proposed an $L^{2}$-norm based test. However, its asymptotic power and finite sample performance have not been studied. In this paper, its asymptotic power is investigated under some mild conditions. It is shown that the $L^2$-norm based test is root-$n$ consistent. In addition, intensive simulation studies demonstrate that in terms of size-controlling and power, the $L^{2}$-norm based test outperforms the dimension-reduction based test proposed by Fremdt et al. (2013) when the functional data are less correlated or when the effective signal information is located in high frequencies. Two real data applications are also presented to demonstrate the good performance of the $L^2$-norm based test.