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

• URL: http://arxiv.org/abs/2609.14815v1
• Date: Sun, 13 Sep 2026 22:06:06 GMT
• Title: A Functional SVD Framework for Regularized Multivariate Functional PCA with Dual Penalization
• Abstract summary: This paper introduces a novel framework for Regularized Multi Functional Principal Component Analysis (ReCA) via Functional Singular Value Decomposition (SVD)<n>The proposed method extends existing methodologicalCA approaches by incorporating a generalized functional SVD within a Hilbert space.<n>A key innovation of this framework is the inclusion of a sparsity penalty on the PC scores, which enhances interpretability.
• Score: 4.278025122064963
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• 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.

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