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arXiv 1609.00834stat.MEmath.STstat.TH
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函数型数据分析的矩阵完备化方法

Functional Data Analysis by Matrix Completion

Marie-Hélène Descary, Victor M. Panaretos

摘要:

函数数据分析通常通过平滑进行,然后进行函数PCA。这种范例隐含地假设粗糙的变化是由于滋扰噪声。尽管如此,相关的功能特征,如时间局部化或短尺度波动可能确实是粗糙的相对于全球尺度,但仍然在较短的尺度平滑。这些可能与平滑和PCA的全局平滑变化分量混淆,可能会扭曲分析的简约性和可解释性。本文的目标是研究如何平滑和粗糙的变化可以恢复离散观测的功能数据的基础上。假设一个功能数据产生的两个不相关的组件,一个光滑和粗糙的总和,我们开发的两个相应的协方差算子的恢复可识别性条件。关键的见解是,它们应该具有互补形式的简约性:一个光滑和有限的秩(大规模),另一个带状和潜在的无限秩(小规模)。我们的条件阐明了等级,带宽和网格分辨率之间的精确相互作用。在这些条件下,我们表明,恢复问题是等价的秩约束矩阵完成,并利用这两个协方差的估计,而不假设知识的真实带宽或秩,我们研究其渐近行为,然后用它们来恢复每个功能数据的平滑和粗糙的组成部分,最好的线性预测。因此,我们有效地产生单独的功能PCA的平滑和粗糙的变化。

英文摘要:

Functional data analyses typically proceed by smoothing, followed by functional PCA. This paradigm implicitly assumes that rough variation is due to nuisance noise. Nevertheless, relevant functional features such as time-localised or short scale fluctuations may indeed be rough relative to the global scale, but still smooth at shorter scales. These may be confounded with the global smooth components of variation by the smoothing and PCA, potentially distorting the parsimony and interpretability of the analysis. The goal of this paper is to investigate how both smooth and rough variations can be recovered on the basis of discretely observed functional data. Assuming that a functional datum arises as the sum of two uncorrelated components, one smooth and one rough, we develop identifiability conditions for the recovery of the two corresponding covariance operators. The key insight is that they should possess complementary forms of parsimony: one smooth and finite rank (large scale), and the other banded and potentially infinite rank (small scale). Our conditions elucidate the precise interplay between rank, bandwidth, and grid resolution. Under these conditions, we show that the recovery problem is equivalent to rank-constrained matrix completion, and exploit this to construct estimators of the two covariances, without assuming knowledge of the true bandwidth or rank; we study their asymptotic behaviour, and then use them to recover the smooth and rough components of each functional datum by best linear prediction. As a result, we effectively produce separate functional PCAs for smooth and rough variation.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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