Fast Covariance Estimation for Multivariate Sparse Functional Data

12/03/2018

∙

by   Cai Li, et al.

∙

0

∙

share

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.