Recovering covariance from functional fragments

Descary M-H and V M Panaretos

Biometrika, 2019, vol. 106, issue 1, 145-160

Abstract: SUMMARY We consider nonparametric estimation of a covariance function on the unit square, given a sample of discretely observed fragments of functional data. When each sample path is observed only on a subinterval of length $\delta<1$, one has no statistical information on the unknown covariance outside a $\delta$-band around the diagonal. The problem seems unidentifiable without parametric assumptions, but we show that nonparametric estimation is feasible under suitable smoothness and rank conditions on the unknown covariance. This remains true even when the observations are discrete, and we give precise deterministic conditions on how fine the observation grid needs to be relative to the rank and fragment length for identifiability to hold true. We show that our conditions translate the estimation problem to a low-rank matrix completion problem, construct a nonparametric estimator in this vein, and study its asymptotic properties. We illustrate the numerical performance of our method on real and simulated data.

Keywords: Analytic continuation; Censoring; Covariance operator; Functional data analysis; Karhunen–Loève expansion; Matrix completion; Partial observation (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (3)

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