Consistency of restricted maximum likelihood estimators of principal components

DOI10.1214/08-AOS608zbMATH Open1161.62032arXiv0805.0465OpenAlexW2107520465MaRDI QIDQ1018640FDOQ1018640

Authors: Debashis Paul, Jie Peng 

Publication date: 20 May 2009

Published in: The Annals of Statistics (Search for Journal in Brave)

Abstract: In this paper we consider two closely related problems : estimation of eigenvalues and eigenfunctions of the covariance kernel of functional data based on (possibly) irregular measurements, and the problem of estimating the eigenvalues and eigenvectors of the covariance matrix for high-dimensional Gaussian vectors. In Peng and Paul (2007), a restricted maximum likelihood (REML) approach has been developed to deal with the first problem. In this paper, we establish consistency and derive rate of convergence of the REML estimator for the functional data case, under appropriate smoothness conditions. Moreover, we prove that when the number of measurements per sample curve is bounded, under squared-error loss, the rate of convergence of the REML estimators of eigenfunctions is near-optimal. In the case of Gaussian vectors, asymptotic consistency and an efficient score representation of the estimators are obtained under the assumption that the effective dimension grows at a rate slower than the sample size. These results are derived through an explicit utilization of the intrinsic geometry of the parameter space, which is non-Euclidean. Moreover, the results derived in this paper suggest an asymptotic equivalence between the inference on functional data with dense measurements and that of the high dimensional Gaussian vectors.

Full work available at URL: https://arxiv.org/abs/0805.0465

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zbMATH Keywords

consistencyfunctional data analysishigh-dimensional dataprincipal component analysisStiefel manifoldintrinsic geometry

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12) Interacting random processes; statistical mechanics type models; percolation theory (60K35)

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Cited In (21)

• Spline estimation of functional principal components via manifold conjugate gradient algorithm
• A smooth simultaneous confidence corridor for the mean of sparse functional data
• Data depth for measurable noisy random functions
• Nonparametric operator-regularized covariance function estimation for functional data
• Functional \(k\)-means inverse regression
• Penalized spline estimation of principal components for sparse functional data: rates of convergence
• Covariate adjusted functional principal components analysis for longitudinal data
• Online Estimation for Functional Data
• A partition Dirichlet process model for functional data analysis
• Asymptotic properties of penalized splines for functional data
• Optimal weighting schemes for longitudinal and functional data
• A randomness test for functional panels
• Two-sample inference for sparse functional data
• Asymptotic conditional singular value decomposition for high-dimensional genomic data
• Functional sufficient dimension reduction based on weighted method
• Consistency of the mean and the principal components of spatially distributed functional data
• Analysis of multivariate non-Gaussian functional data: a semiparametric latent process approach
• Robust functional sliced inverse regression
• Low-Rank Covariance Function Estimation for Multidimensional Functional Data
• Surface functional models
• Principal components analysis for sparsely observed correlated functional data using a kernel smoothing approach

Uses Software

• fda (R)

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