Economical Models for Functional Covariation - SAMSI

Overview Functional PCA finite element basis Estimation Examples Extensions and discussion
R(s, t) is sparse
Because the supports of the functions are small, most of
these cross-products are zero.
Devising an efficient algorithm to compute the nonzero
cross-products was the main technical challenge in the
project.
An algorithm for computing R(s, t) is available in Matlab
and C.
Fast computation and economical storage is achieved by
computing with each of these matrices stored in sparse
storage mode.
Cross-products are computed once and for all before the
fitting phase, and do not need to be re-computed during an
optimization of a fitting criterion.