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arxiv: 1603.05758 · v2 · pith:UZBH5JPFnew · submitted 2016-03-18 · 📊 stat.ME

Fast Covariance Estimation for Sparse Functional Data

classification 📊 stat.ME
keywords covariancemethodsmoothingdatafunctionalfastlongitudinalpropose
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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.

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