Functional principal component analysis estimator for non-Gaussian data

DOI10.48550/ARXIV.2102.01286MaRDI QIDQ115417arXivFDO

Authors Rou Zhong, Shishi Liu, Haocheng Li, Jingxiao Zhang

Publication date 2 February 2021

Abstract: Functional principal component analysis (FPCA) could become invalid when data involve non-Gaussian features. Therefore, we aim to develop a general FPCA method to adapt to such non-Gaussian cases. A Kenall's $au$ function, which possesses identical eigenfunctions as covariance function, is constructed. The particular formulation of Kendall's $au$ function makes it less insensitive to data distribution. We further apply it to the estimation of FPCA and study the corresponding asymptotic consistency. Moreover, the effectiveness of the proposed method is demonstrated through a comprehensive simulation study and an application to the physical activity data collected by a wearable accelerometer monitor.

Cited in

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• KFPCA

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