We consider functional data which are measured on a discrete set of observation points. Often such data are measured with additional noise. We explore in this paper the factor structure underlying this type of data. We show that the latent signal can be attributed to the common components of a corresponding factor model and can be estimated accordingly, by borrowing methods from factor model literature. We also show that principal components, which play a key role in functional data analysis, can be accurately estimated after taking such a multivariate instead of a `functional' perspective. In addition to the estimation problem, we also address testing of the null-hypothesis of iid noise. While this assumption is largely prevailing in the literature, we believe that it is often unrealistic and not supported by a residual analysis.
翻译:我们考虑的是用一组离散的观察点测量的功能性数据。这些数据往往用额外的噪音来测量。我们在本文件中探讨这类数据背后的因素结构。我们表明,潜伏信号可以归结于一个相应的要素模型的共同组成部分,并可以通过从要素模型文献中借用方法进行相应的估计。我们还表明,主要组成部分在功能性数据分析中起着关键作用,在采用这种多变量而不是“功能性”观点之后,可以准确估计。除了估算问题外,我们还处理对静态的空虚的测试问题。虽然这一假设在文献中基本占上风,但我们认为它往往不切实际,而且没有得到残余分析的支持。