A reproducing kernel Hilbert space approach to functional linear regression

DOI10.1214/09-AOS772MaRDI QIDQ620554zbMATH OpenOpenAlexFDO

Authors Ming Yuan, T. Tony Cai

Publication date 19 January 2011

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1211.2607

zbMATH Keywords

covarianceprincipal component analysisreproducing kernel Hilbert spaceminimaxoptimal convergence rateeigenfunctioneigenvalueSobolev spacefunctional linear regressionsimultaneous diagonalizationSacks-Ylvisaker conditionsslope function

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Factor analysis and principal components; correspondence analysis (62H25) Linear regression; mixed models (62J05) Applications of functional analysis in probability theory and statistics (46N30)

Abstract: We study in this paper a smoothness regularization method for functional linear regression and provide a unified treatment for both the prediction and estimation problems. By developing a tool on simultaneous diagonalization of two positive definite kernels, we obtain shaper results on the minimax rates of convergence and show that smoothness regularized estimators achieve the optimal rates of convergence for both prediction and estimation under conditions weaker than those for the functional principal components based methods developed in the literature. Despite the generality of the method of regularization, we show that the procedure is easily implementable. Numerical results are obtained to illustrate the merits of the method and to demonstrate the theoretical developments.

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