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.
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