Adaptive estimation of irregular mean and covariance functions
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Publication:6375231
arXiv2108.06507MaRDI QIDQ6375231FDOQ6375231
Authors: Steven Golovkine, Nicolas Klutchnikoff, Valentin Patilea 
Publication date: 14 August 2021
Abstract: We propose straightforward nonparametric estimators for the mean and the covariance functions of functional data. Our setup covers a wide range of practical situations. The random trajectories are, not necessarily differentiable, have unknown regularity, and are measured with error at discrete design points. The measurement error could be heteroscedastic. The design points could be either randomly drawn or common for all curves. The definition of our nonparametric estimators depends on the local regularity of the stochastic process generating the functional data. We first propose a simple estimator of this local regularity which takes strength from the replication and regularization features of functional data. Next, we use the "smoothing first, then estimate" approach for the mean and the covariance functions. The new nonparametric estimators achieve optimal rates of convergence. They can be applied with both sparsely or densely sampled curves, are easy to calculate and to update, and perform well in simulations. Simulations built upon a real data example on household power consumption illustrate the effectiveness of the new approach.
Has companion code repository: https://github.com/stevengolovkine/funestim
Nonparametric estimation (62G05) Non-Markovian processes: estimation (62M09) Functional data analysis (62R10)
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