Selecting the Number of Principal Components in Functional Data.
Selecting the Number of Principal Components in Functional Data.
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DOI：
10.1080/01621459.2013.788980
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发表时间：
2013-12-19
影响因子：
3.7
通讯作者：
Carroll RJ
中科院分区：
文献类型：
--
作者：
Li Y;Wang N;Carroll RJ
Functional principal component analysis (FPCA) has become the most widely used dimension reduction tool for functional data analysis. We consider functional data measured at random, subject-specific time points, contaminated with measurement error, allowing for both sparse and dense functional data, and propose novel information criteria to select the number of principal component in such data. We propose a Bayesian information criterion based on marginal modeling that can consistently select the number of principal components for both sparse and dense functional data. For dense functional data, we also developed an Akaike information criterion (AIC) based on the expected Kullback-Leibler information under a Gaussian assumption. In connecting with factor analysis in multivariate time series data, we also consider the information criteria by and show that they are still consistent for dense functional data, if a prescribed undersmoothing scheme is undertaken in the FPCA algorithm. We perform intensive simulation studies and show that the proposed information criteria vastly outperform existing methods for this type of data. Surprisingly, our empirical evidence shows that our information criteria proposed for dense functional data also perform well for sparse functional data. An empirical example using colon carcinogenesis data is also provided to illustrate the results.
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