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Fast Covariance Estimation for Multivariate Sparse Functional Data.


ABSTRACT: Covariance estimation is essential yet underdeveloped for analyzing multivariate functional data. We propose a fast covariance estimation method for multivariate sparse functional data using bivariate penalized splines. The tensor-product B-spline formulation of the proposed method enables a simple spectral decomposition of the associated covariance operator and explicit expressions of the resulting eigenfunctions as linear combinations of B-spline bases, thereby dramatically facilitating subsequent principal component analysis. We derive a fast algorithm for selecting the smoothing parameters in covariance smoothing using leave-one-subject-out cross-validation. The method is evaluated with extensive numerical studies and applied to an Alzheimer's disease study with multiple longitudinal outcomes.

SUBMITTER: Li C 

PROVIDER: S-EPMC8276768 | biostudies-literature | 2020

REPOSITORIES: biostudies-literature

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Fast Covariance Estimation for Multivariate Sparse Functional Data.

Li Cai C   Xiao Luo L   Luo Sheng S  

Stat (International Statistical Institute) 20200617 1


Covariance estimation is essential yet underdeveloped for analyzing multivariate functional data. We propose a fast covariance estimation method for multivariate sparse functional data using bivariate penalized splines. The tensor-product B-spline formulation of the proposed method enables a simple spectral decomposition of the associated covariance operator and explicit expressions of the resulting eigenfunctions as linear combinations of B-spline bases, thereby dramatically facilitating subseq  ...[more]

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