Sampled forms of functional PCA in reproducing kernel Hilbert spaces

DOI10.1214/12-AOS1033MaRDI QIDQ741794zbMATH OpenOpenAlexFDO

Authors Martin J. Wainwright, Arash A. Amini

Publication date 15 September 2014

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

Full work available at URL https://arxiv.org/abs/1109.3336, https://projecteuclid.org/euclid.aos/1359987528

zbMATH Keywords

Fourier truncationfunctional principal component analysislinear sampling operatorreproducing kernel Hilbert spacetime sampling

Mathematics Subject Classification ID

Density estimation (62G07) Nonparametric regression and quantile regression (62G08) Factor analysis and principal components; correspondence analysis (62H25)

Abstract: We consider the sampling problem for functional PCA (fPCA), where the simplest example is the case of taking time samples of the underlying functional components. More generally, we model the sampling operation as a continuous linear map from $mathcalH$ to $mathbb{R}^m$, where the functional components to lie in some Hilbert subspace $mathcalH$ of $L^2$, such as a reproducing kernel Hilbert space of smooth functions. This model includes time and frequency sampling as special cases. In contrast to classical approach in fPCA in which access to entire functions is assumed, having a limited number m of functional samples places limitations on the performance of statistical procedures. We study these effects by analyzing the rate of convergence of an M-estimator for the subspace spanned by the leading components in a multi-spiked covariance model. The estimator takes the form of regularized PCA, and hence is computationally attractive. We analyze the behavior of this estimator within a nonasymptotic framework, and provide bounds that hold with high probability as a function of the number of statistical samples n and the number of functional samples m. We also derive lower bounds showing that the rates obtained are minimax optimal.

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Cited in

(14)

• Testing for the rank of a covariance operator
• Functional sufficient dimension reduction through average Fréchet derivatives
• Functional principal subspace sampling for large scale functional data analysis
• Hybrid regularisation and the (in)admissibility of ridge regression in infinite dimensional Hilbert spaces
• Reproducing kernels: harmonic analysis and some of their applications
• Dimension Reduction for Gaussian Process Emulation: An Application to the Influence of Bathymetry on Tsunami Heights
• PCA-based dimension reduction for splines
• Representation and reconstruction of covariance operators in linear inverse problems
• Superresolution from principal component models by RKHS sampling
• Infinite-dimensional stochastic transforms and reproducing kernel Hilbert space
• Low-rank approximation for smoothing spline via eigensystem truncation
• Nonlinear functional regression by functional deep neural network with kernel embedding
• Generalized functional linear regression models with functional and scalar covariates prone to measurement error
• Sampled forms of functional PCA in reproducing kernel Hilbert spaces

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