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Biometrics. 2011 Dec;67(4):1295-304. doi: 10.1111/j.1541-0420.2011.01591.x. Epub 2011 Mar 18.

Stochastic functional data analysis: a diffusion model-based approach.

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1
Department of Statistical Science, Duke University, Durham, North Carolina 27708, USA. bin.zhu@duke.edu

Abstract

This article presents a new modeling strategy in functional data analysis. We consider the problem of estimating an unknown smooth function given functional data with noise. The unknown function is treated as the realization of a stochastic process, which is incorporated into a diffusion model. The method of smoothing spline estimation is connected to a special case of this approach. The resulting models offer great flexibility to capture the dynamic features of functional data, and allow straightforward and meaningful interpretation. The likelihood of the models is derived with Euler approximation and data augmentation. A unified Bayesian inference method is carried out via a Markov chain Monte Carlo algorithm including a simulation smoother. The proposed models and methods are illustrated on some prostate-specific antigen data, where we also show how the models can be used for forecasting.

PMID:
21418053
PMCID:
PMC3128649
DOI:
10.1111/j.1541-0420.2011.01591.x
[Indexed for MEDLINE]
Free PMC Article
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