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Estimating the Mean and Covariance Structure Nonparametrically When the Data are Curves

John A. Rice and B. W. Silverman
Journal of the Royal Statistical Society. Series B (Methodological)
Vol. 53, No. 1 (1991), pp. 233-243
Published by: Wiley for the Royal Statistical Society
Stable URL: http://www.jstor.org/stable/2345738
Page Count: 11
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Estimating the Mean and Covariance Structure Nonparametrically When the Data are Curves
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Abstract

We develop methods for the analysis of a collection of curves which are stochastically modelled as independent realizations of a random function with an unknown mean and covariance structure. We propose a method of estimating the mean function non-parametrically under the assumption that it is smooth. We suggest a variant on the usual form of cross-validation for choosing the degree of smoothing to be employed. This method of cross-validation, which consists of deleting entire sample curves, has the advantage that it does not require that the covariance structure be known or estimated. In the estimation of the covariance structure, we are primarily concerned with models in which the first few eigenfunctions are smooth and the eigenvalues decay rapidly, so that the variability is predominantly of large scale. We propose smooth nonparametric estimates of the eigen-functions and a suitable method of cross-validation to determine the amount of smoothing. Our methods are applied to data on the gaits of a group of 5-year-old children.

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