English

Fast Covariance Estimation for Sparse Functional Data

Methodology 2017-04-07 v2

Abstract

Smoothing of noisy sample covariances is an important component in functional data analysis. We propose a novel covariance smoothing method based on penalized splines and associated software. The proposed method is a bivariate spline smoother that is designed for covariance smoothing and can be used for sparse functional or longitudinal data. We propose a fast algorithm for covariance smoothing using leave-one-subject-out cross validation. Our simulations show that the proposed method compares favorably against several commonly used methods. The method is applied to a study of child growth led by one of coauthors and to a public dataset of longitudinal CD4 counts.

Keywords

Cite

@article{arxiv.1603.05758,
  title  = {Fast Covariance Estimation for Sparse Functional Data},
  author = {Luo Xiao and Cai Li and William Checkley and Ciprian M. Crainiceanu},
  journal= {arXiv preprint arXiv:1603.05758},
  year   = {2017}
}

Comments

29 pages, 8 figures

R2 v1 2026-06-22T13:13:45.132Z