A Functional SVD Framework for Regularized Multivariate Functional PCA with Dual Penalization

Abstract:This paper introduces a novel framework for Regularized Multivariate Functional Principal Component Analysis (ReMFPCA) via Functional Singular Value Decomposition (SVD). The proposed method extends existing MFPCA approaches by incorporating a generalized functional SVD within a Hilbert space framework, enabling simultaneous regularization of both functional principal components (PCs) and their associated PC scores. A key innovation of this framework is the inclusion of a sparsity penalty on the PC scores, which enhances interpretability by filtering out irrelevant subject-specific variations. This dual-penalization strategy represents a significant advancement beyond existing covariance-based eigen decomposition methods, which penalize only the functional PCs. Two power algorithm implementations, sequential and joint, are proposed, together with a cross-validation approach based on iterative regression for optimal smoothing parameter selection. Comprehensive simulation studies and real data applications demonstrate that the proposed framework substantially improves the extraction of informative and interpretable components, offering methodological and practical benefits for analyzing multivariate functional data across diverse domains.

Machine Learning (stat.ML); Machine Learning (cs.LG); Methodology (stat.ME)

arXiv:2609.14815 [stat.ML]

(or arXiv:2609.14815v1 [stat.ML] for this version)

https://doi.org/10.48550/arXiv.2609.14815 Focus to learn more arXiv-issued DOI via DataCite (pending registration)

arXivLabs is a framework that allows collaborators to develop and share new arXiv features directly on our website.

Both individuals and organizations that work with arXivLabs have embraced and accepted our values of openness, community, excellence, and user data privacy. arXiv is committed to these values and only works with partners that adhere to them.

Have an idea for a project that will add value for arXiv's community? Learn more about arXivLabs.