Perform an estimation of the covariance with local linear smoothers.

Source: R/estimate_covariance.R

This function performs the estimation of the covariance of a set of curves using local linear smoothers where the bandwidth is given.

covariance_lll(curves, grid, bandwidth = 0.1)

Arguments

curves

List, where each element represents a curve. Each curve have to be defined as a list with two entries:

  • $t Sampling points

  • $x Observed points.

grid

Vector, sampling points at which estimate the covariance.

bandwidth

Numeric (default = 0.1), the bandwidth to use.

Value

Matrix representing the covariance surface.

References

Zhang X. and Wang J.-L. (2016) - From sparse to dense functional data and beyond, The Annals of Statistics