Covariate-informed reconstruction of partially observed functional data via factor models

This paper studies linear reconstruction of partially observed functional data which are recorded on a discrete grid. We propose a novel estimation approach based on approximate factor models with increasing rank taking into account potential covariate information. Whereas alternative reconstruction procedures commonly involve some preliminary smoothing, our method separates the signal from noise and reconstructs missing fragments at once. We establish uniform convergence rates of our estimator and introduce a new method for constructing simultaneous prediction bands for the missing trajectories. A simulation study examines the performance of the proposed methods in finite samples. Finally, a real data application of temperature curves demonstrates that our theory provides a simple and effective method to recover missing fragments.

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Publication Details

Journal
Electronic Journal of Statistics
Published
2025-01-01
DOI
https://doi.org/10.1214/25-ejs2381
Primary Topic
Statistical Methods and Inference
Type
article
Field-Weighted Citation Impact
0.00

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article

Covariate-informed reconstruction of partially observed functional data via factor models

Siegfried Hörmann, Maximilian Ofner
Electronic Journal of Statistics
Statistical Methods and Inference
article

Covariate-informed reconstruction of partially observed functional data via factor models

Siegfried Hörmann, Maximilian Ofner
article en

Abstract

This paper studies linear reconstruction of partially observed functional data which are recorded on a discrete grid. We propose a novel estimation approach based on approximate factor models with increasing rank taking into account potential covariate information. Whereas alternative reconstruction procedures commonly involve some preliminary smoothing, our method separates the signal from noise and reconstructs missing fragments at once. We establish uniform convergence rates of our estimator and introduce a new method for constructing simultaneous prediction bands for the missing trajectories. A simulation study examines the performance of the proposed methods in finite samples. Finally, a real data application of temperature curves demonstrates that our theory provides a simple and effective method to recover missing fragments.

Electronic Journal of StatisticsVol. 19(1)
Graz University of Technology (AT)
Austrian Science Fund
Openalex Percentile: Top 93%
Statistical Methods and Inference
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