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Statistica Sinica 26 (2016), 359-383
doi:http://dx.doi.org/10.5705/ss.2014.182

ORACLE-EFFICIENT CONFIDENCE ENVELOPES FOR
COVARIANCE FUNCTIONS IN DENSE
FUNCTIONAL DATA
Guanqun Cao1, Li Wang2, Yehua Li2 and Lijian Yang3
1Auburn University, 2Iowa State University
and 3Soochow University

Abstract: We consider nonparametric estimation of the covariance function for dense functional data using computationally efficient tensor product B-splines. We develop both local and global asymptotic distributions for the proposed estimator, and show that our estimator is as efficient as an “oracle” estimator where the true mean function is known. Simultaneous confidence envelopes are developed based on asymptotic theory to quantify the variability in the covariance estimator and to make global inferences on the true covariance. Monte Carlo simulation experiments provide strong evidence that corroborates the asymptotic theory. Examples of near infrared spectroscopy data and speech recognition data are provided to illustrate the proposed method.

Key words and phrases: B-spline, confidence envelope, covariance function, functional data, Karhunen-Loève L2 representation, longitudinal data.

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