Nonparametric operator-regularized covariance function estimation for functional data
From MaRDI portal
Abstract: In functional data analysis (FDA), covariance function is fundamental not only as a critical quantity for understanding elementary aspects of functional data but also as an indispensable ingredient for many advanced FDA methods. This paper develops a new class of nonparametric covariance function estimators in terms of various spectral regularizations of an operator associated with a reproducing kernel Hilbert space. Despite their nonparametric nature, the covariance estimators are automatically positive semi-definite without any additional modification steps. An unconventional representer theorem is established to provide a finite dimensional representation for this class of covariance estimators, which leads to a closed-form expression of the corresponding eigen-decomposition. Trace-norm regularization is particularly studied to further achieve a low-rank representation, another desirable property which leads to dimension reduction and is often needed in advanced FDA approaches. An efficient algorithm is developed based on the accelerated proximal gradient method. This resulted estimator is shown to enjoy an excellent rate of convergence under both fixed and random designs. The outstanding practical performance of the trace-norm-regularized covariance estimator is demonstrated by a simulation study and the analysis of a traffic dataset.
Recommendations
- Low-Rank Covariance Function Estimation for Multidimensional Functional Data
- On the nonparametric estimation of covariance functions
- Functional Data Analysis with Covariate-Dependent Mean and Covariance Structures
- A class of optimal estimators for the covariance operator in reproducing kernel Hilbert spaces
- A nonparametric estimator for the covariance function of functional data
Cites work
- scientific article; zbMATH DE number 45848 (Why is no real title available?)
- scientific article; zbMATH DE number 469335 (Why is no real title available?)
- A Fast Iterative Shrinkage-Thresholding Algorithm for Linear Inverse Problems
- A new approach to collaborative filtering: operator estimation with spectral regularization
- Assessing the Finite Dimensionality of Functional Data
- Consistency of restricted maximum likelihood estimators of principal components
- Description length and dimensionality reduction in functional data analysis
- Dynamical functional prediction and classification, with application to traffic flow prediction
- Fast bivariate \(P\)-splines: the sandwich smoother
- Fast covariance estimation for sparse functional data
- From sparse to dense functional data and beyond
- Functional Data Analysis for Sparse Longitudinal Data
- Functional data analysis.
- Functional linear regression analysis for longitudinal data
- Inference for functional data with applications
- Maximum penalized likelihood estimation. Volume II: Regression
- Nonparametric Mixed Effects Models for Unequally Sampled Noisy Curves
- Nonparametric functional data analysis. Theory and practice.
- Optimal Prediction in an Additive Functional Model
- Principal component models for sparse functional data
- RKHS-based functional nonparametric regression for sparse and irregular longitudinal data
- Selecting the number of principal components in functional data
- Spectral regularization algorithms for learning large incomplete matrices
- Structured Functional Additive Regression in Reproducing Kernel Hilbert Spaces
- Templates for convex cone problems with applications to sparse signal recovery
- Theoretical foundations of functional data analysis, with an introduction to linear operators
- Unified Empirical Likelihood Ratio Tests for Functional Concurrent Linear Models and the Phase Transition from Sparse to Dense Functional Data
- Uniform convergence rates for nonparametric regression and principal component analysis in functional/longitudinal data
- Varying-coefficient additive models for functional data
Cited in
(9)- Optimal rate for covariance operator estimators of functional autoregressive processes with random coefficients
- Editorial for the special issue on high-dimensional and functional data analysis
- A new approach to varying-coefficient additive models with longitudinal covariates
- Sparsely observed functional time series: estimation and prediction
- Regression operator estimation by delta-sequences method for functional data and its applications
- A nonparametric estimator for the covariance function of functional data
- Fast covariance estimation for multivariate sparse functional data
- Lagged covariance and cross-covariance operators of processes in Cartesian products of abstract Hilbert spaces
- Low-Rank Covariance Function Estimation for Multidimensional Functional Data
This page was built for publication: Nonparametric operator-regularized covariance function estimation for functional data
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1615269)
