Testing of two-dimensional Gaussian processes by sample cross-covariance function.

In this paper, we address the issue of testing two-dimensional Gaussian processes with a defined cross-dependency structure. Multivariate Gaussian processes are widely used in various applications; therefore, it is essential to identify the theoretical model that accurately describes the data. While it is relatively straightforward to do so in a one-dimensional case, analyzing multi-dimensional vectors requires considering the dependency between the components, which can significantly affect the efficiency of statistical methods. The testing methodology presented in this paper is based on the sample cross-covariance function and can be considered a natural generalization of the approach recently proposed for testing one-dimensional Gaussian processes based on the sample autocovariance function. We verify the efficiency of this procedure on three classes of two-dimensional Gaussian processes: Brownian motion, fractional Brownian motion, and two-dimensional autoregressive discrete-time process. The simulation results clearly demonstrate the effectiveness of the testing methodology, even for small sample sizes. The theoretical and simulation results are supported by analyzing two-dimensional real-time series that describe the main risk factors of a mining company, namely, copper price and exchange rates (USDPLN). We believe that the introduced methodology is intuitive and relatively simple to implement, and thus, it can be applied in many real-world scenarios where multi-dimensional data are examined.