Distributional data analysis: Difference between revisions

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=== Functional principal component analysis ===

[[Functional principal component analysis|Functional]] principal component analysis(FPCA)]] can be directly applied to the probability density functions.<ref>{{Cite journal|last1=Kneip|first1=A.|last2=Utikal|first2=K.J.|date=2001|title=Inference for density families using functional principal component analysis|journal=Journal of the American Statistical Association|volume=96|issue=454|pages=519–532|doi=10.1198/016214501753168235|s2cid=123524014 }}</ref> Consider a distribution process <math>\nu \sim \mathfrak{F}</math> and let <math>f</math> be the density function of <math>\nu</math>. Let the mean density function as <math>\mu(t) = \mathbb{E}\left[f(t)\right]</math> and the covariance function as <math>G(s,t) = \operatorname{Cov}(f(s), f(t))</math> with orthonormal eigenfunctions <math>\{\phi_j\}_{j=1}^\infty</math> and eigenvalues <math>\{\lambda_j\}_{j=1}^\infty</math>.

By the Karhunen-Loève theorem, <math>

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</math>

Let the reference measure <math>\nu_0</math> be the Wasserstein mean <math>\mu_\oplus</math>.

Then, a ''principal geodesic subspace (PGS)'' of dimension <math>k</math> with respect to <math>\mu_\oplus</math> is a set <math>G_k = \operatorname{argmin}_{G \in \text{CG}_{\nu_\oplus, k}(\mathcal{W}_2)} K_{W_2}(G)</math>.<ref name="gpca1">{{Cite journal|last1=Bigot|first1=J.|last2=Gouet|first2=R.|last3=Klein|first3=T.|last4=López|first4=A.|date=2017|title=Geodesic PCA in the Wasserstein space by convex PCA|journal= Annales de l'institutInstitut Henri Poincare (B)Poincaré, ProbabilityProbabilités andet StatisticsStatistiques|volume=53|issue=1|pages=1–26|doi=10.1214/15-AIHP706|bibcode=2017AnIHP..53....1B |s2cid=49256652 |url=https://hal.archives-ouvertes.fr/hal-01978864/file/AIHP706.pdf }}</ref><ref name="gpca2">{{Cite journal|last1=Cazelles|first1=E.|last2=Seguy|first2=V.|last3=Bigot|first3=J.|last4=Cuturi|first4=M.|last5=Papadakis|first5=N.|date=2018|title=Geodesic PCA versus Log-PCA of histograms in the Wasserstein space|journal=SIAM Journal on Scientific Computing|volume=40|issue=2|pages=B429–B456|doi=10.1137/17M1143459 |bibcode=2018SJSC...40B.429C }}</ref>

Note that the tangent space <math>T_{\mu_\oplus}</math> is a subspace of <math>L^2_{\mu_\oplus}</math>, the Hilbert space of <math>{\mu_\oplus}</math>-square-integrable functions. Obtaining the PGS is equivalent to performing PCA in <math>L^2_{\mu_\oplus}</math> under constraints to lie in the convex and closed subset.<ref name="gpca2"/> Therefore, a simple approximation of the Wasserstein Geodesic PCA is the Log FPCA by relaxing the geodesicity constraint, while alternative techniques are suggested.<ref name="gpca1"/><ref name="gpca2"/>