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Topic:Low-Rank Covariance Function Estimation for Multidimensional Functional Data
Date:28/07/2022
Time:2:00 pm - 3:00 pm
Venue:Y C Liang Hall (LHC) 106
Category:Seminars
Speaker:Professor Raymond Wong
Details:

Abstract

Multidimensional function data arise from many fields nowadays. The covariance function plays an important role in the analysis of such increasingly common data. In this talk, I will present a novel nonparametric covariance function estimation approach under the framework of reproducing kernel Hilbert spaces (RKHS) that can handle both sparse and dense functional data. We extend multilinear rank structures for (finite-dimensional) tensors to functions, which allow for flexible modeling of both covariance operators and marginal structures. The proposed framework can guarantee that the resulting estimator is automatically semi-positive definite, and can incorporate various spectral regularizations. The trace-norm regularization in particular can promote low ranks for both covariance operator and marginal structures. Despite the lack of a closed form, under mild assumptions, the proposed estimator can achieve unified theoretical results that hold for any relative magnitudes between the sample size and the number of observations per sample field, and the rate of convergence reveals the “phase-transition” phenomenon from sparse to dense functional data.

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