Sparse Functional Principal Component Analysis in High Dimensions

TL;DR

This paper introduces a sparse functional principal component analysis method designed for high-dimensional data where the number of functions is large, providing effective modeling under sparsity assumptions and demonstrating strong theoretical and empirical performance.

Contribution

It develops a novel sparse FPCA algorithm suitable for high-dimensional functional data with infinite-dimensional variables, addressing limitations of existing methods.

Findings

The proposed method effectively models high-dimensional functional data.

Theoretical properties of the estimators are established.

Performance is demonstrated through simulations and real data examples.

Abstract

Functional principal component analysis (FPCA) is a fundamental tool and has attracted increasing attention in recent decades, while existing methods are restricted to data with a single or finite number of random functions (much smaller than the sample size $n$). In this work, we focus on high-dimensional functional processes where the number of random functions $p$ is comparable to, or even much larger than $n$. Such data are ubiquitous in various fields such as neuroimaging analysis, and cannot be properly modeled by existing methods. We propose a new algorithm, called sparse FPCA, which is able to model principal eigenfunctions effectively under sensible sparsity regimes. While sparsity assumptions are standard in multivariate statistics, they have not been investigated in the complex context where not only is $p$ large, but also each variable itself is an intrinsically infinite-dimensional process. The sparsity structure motivates a thresholding rule that is easy to compute without nonparametric smoothing by exploiting the relationship between univariate orthonormal basis expansions and multivariate Kahunen-Lo\`eve (K-L) representations. We investigate the theoretical properties of the resulting estimators, and illustrate the performance with simulated and real data examples.