The basic observational unit in this paper is a function. Data are assumed to have a natural hierarchy of basic units. A simple example is when functions are recorded at multiple visits for the same subject. Di et al. (2009) proposed Multilevel Functional Principal Component Analysis (MFPCA) for this type of data structure when functions are densely sampled. Here we consider the case when functions are sparsely sampled and may contain as few as 2 or 3 observations per function. As with MFPCA, we exploit the multilevel structure of covariance operators and data reduction induced by the use of principal component bases. However, we address inherent methodological differences in the sparse sampling context to: 1) estimate the covariance operators; 2) estimate the functional scores and predict the underlying curves. We show that in the sparse context 1) is harder and propose an algorithm to circumvent the problem. Surprisingly, we show that 2) is easier via new BLUP calculations. Using simulations and real data analysis we show that the ability of our method to reconstruct underlying curves with few observations is stunning. This approach is illustrated by an application to the Sleep Heart Health Study, which contains two electroencephalographic (EEG) series at two visits for each subject.
Available at: http://works.bepress.com/ciprian_crainiceanu/5/