A simple method to construct confidence bands in functional linear regression
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Abstract: This paper develops a simple method to construct confidence bands, centered at a principal component analysis (PCA) based estimator, for the slope function in a functional linear regression model with a scalar response variable and a functional predictor variable. The PCA-based estimator is a series estimator with estimated basis functions, and so construction of valid confidence bands for it is a non-trivial challenge. We propose a confidence band that aims at covering the slope function at "most" of points with a prespecified probability (level), and prove its asymptotic validity under suitable regularity conditions. Importantly, this is the first paper that derives confidence bands having theoretical justifications for the PCA-based estimator. We also propose a practical method to choose the cut-off level used in PCA-based estimation, and conduct numerical studies to verify the finite sample performance of the proposed confidence band. Finally, we apply our methodology to spectrometric data, and discuss extensions of our methodology to cases where additional vector-valued regressors are present.
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Cited in
(9)- Statistical inference for the slope parameter in functional linear regression
- Estimation and inference in partially functional linear regression with multiple functional covariates
- A geometric approach to confidence regions and bands for functional parameters
- Corrected confidence bands for functional data using principal components
- Latent group detection in functional partially linear regression models
- Statistical inference for function-on-function linear regression
- Linearized maximum rank correlation estimation when covariates are functional
- High-Dimensional Mixed-Frequency IV Regression
- L^p-quantile regression for varying coefficient partially functional linear models
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