Localized Functional Principal Component Analysis

• 成果类型: Article
• 署名作者: Chen, Kehui; Lei, Jing
• 署名单位: Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh; Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh; Carnegie Mellon University
• 刊物名称: JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
• ISSN/ISSBN: 0162-1459
• DOI: 10.1080/01621459.2015.1016225
• 发表日期: 2015
• 页码: 1266-1275
• 关键词: regression; rates; mortality

摘要

We propose localized functional principal component analysis (LFPCA), looking for orthogonal basis functions with localized support regions that explain most of the variability of a random process. The LFPCA is formulated as a convex optimization problem through a novel deflated Fantope localization method and is implemented through an efficient algorithm to obtain the global optimum. We prove that the proposed LFPCA converges to the original functional principal component analysis (FPCA) when the tuning parameters are chosen appropriately. Simulation shows that the proposed LFPCA with tuning parameters chosen by cross-validation can almost perfectly recover the true eigenfunctions and significantly improve the estimation accuracy when the eigenfunctions are truly supported on some subdomains. In the scenario that the original eigenfunctions are not localized, the proposed LFPCA also serves as a nice tool in finding orthogonal basis functions that balance between interpretability and the capability of explaining variability of the data. The analyses of a country mortality data reveal interesting features that cannot be found by standard FPCA methods. Supplementary materials for this article are available online.