Maximal autocorrelation functions in functional data analysis |
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| Authors: | Giles Hooker Steven Roberts |
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| Affiliation: | 1.Department of Biological Statistics and Computational Biology,Cornell University,Ithaca,USA;2.Research School of Finance, Actuarial Studies and Applied Statistics,Australian National University,Canberra,Australia |
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| Abstract: | This paper proposes a new factor rotation for the context of functional principal components analysis. This rotation seeks to re-express a functional subspace in terms of directions of decreasing smoothness as represented by a generalized smoothing metric. The rotation can be implemented simply and we show on two examples that this rotation can improve the interpretability of the leading components. |
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