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Rates of Convergence for Spline Estimates of Additive Principal Components

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  • El Faouzi, Nour Eddin
  • Sarda, Pascal
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    Abstract

    Additive principal components(APCs) generalize classicalprincipal component analysisto additive nonlinear transformations.Smallest APCsare additive functions of the vectorX=(X1, ..., Xp) minimizing the variance under orthogonality constraints and are characterized as eigenfunctions of an operator which is compact under a standard condition on the joint distribution of (X1, ..., Xp). As a by-product,smallest APCnearly satisfies the equation [summation operator]j [phi]j(Xj)=0 and then provides powerful tools for regression and data analysis diagnostics. The principal aim of this paper is the estimation of smallest APCs based on a sample from the distribution ofX. This is achieved using additive splines, which have been recently investigated in several functional estimation problems. The rates of convergence are then derived under mild conditions on the component functions. These rates are the same as the optimal rates for a nonparametric estimate of a univariate regression function.

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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Multivariate Analysis.

    Volume (Year): 68 (1999)
    Issue (Month): 1 (January)
    Pages: 120-137

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    Handle: RePEc:eee:jmvana:v:68:y:1999:i:1:p:120-137

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    Keywords: additive principal components nonlinear transformations additive splines rate of convergence;

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    Cited by:
    1. Salinelli, Ernesto, 2009. "Nonlinear principal components, II: Characterization of normal distributions," Journal of Multivariate Analysis, Elsevier, vol. 100(4), pages 652-660, April.

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