Adaptive functional linear regression
From MaRDI portal
Abstract: We consider the estimation of the slope function in functional linear regression, where scalar responses are modeled in dependence of random functions. Cardot and Johannes [J. Multivariate Anal. 101 (2010) 395-408] have shown that a thresholded projection estimator can attain up to a constant minimax-rates of convergence in a general framework which allows us to cover the prediction problem with respect to the mean squared prediction error as well as the estimation of the slope function and its derivatives. This estimation procedure, however, requires an optimal choice of a tuning parameter with regard to certain characteristics of the slope function and the covariance operator associated with the functional regressor. As this information is usually inaccessible in practice, we investigate a fully data-driven choice of the tuning parameter which combines model selection and Lepski's method. It is inspired by the recent work of Goldenshluger and Lepski [Ann. Statist. 39 (2011) 1608-1632]. The tuning parameter is selected as minimizer of a stochastic penalized contrast function imitating Lepski's method among a random collection of admissible values. This choice of the tuning parameter depends only on the data and we show that within the general framework the resulting data-driven thresholded projection estimator can attain minimax-rates up to a constant over a variety of classes of slope functions and covariance operators. The results are illustrated considering different configurations which cover in particular the prediction problem as well as the estimation of the slope and its derivatives. A simulation study shows the reasonable performance of the fully data-driven estimation procedure.
Recommendations
- Adaptive estimation of linear functionals in functional linear models
- Functional Adaptive Model Estimation
- Adaptive estimation in the functional nonparametric regression model
- Non-asymptotic adaptive prediction in functional linear models
- Minimax and adaptive prediction for functional linear regression
- On adaptive estimation of linear functionals
- Adaptive estimates of linear functionals
- On adaptive linear regression
- Adaptive functional linear regression via functional principal component analysis and block thresholding
Cites work
- scientific article; zbMATH DE number 3426529 (Why is no real title available?)
- scientific article; zbMATH DE number 4169087 (Why is no real title available?)
- scientific article; zbMATH DE number 741240 (Why is no real title available?)
- scientific article; zbMATH DE number 2015204 (Why is no real title available?)
- scientific article; zbMATH DE number 4197203 (Why is no real title available?)
- A Statistical View of Some Chemometrics Regression Tools
- Adaptive estimation in circular functional linear models
- Adaptive prediction and estimation in linear regression with infinitely many parameters.
- Bandwidth selection in kernel density estimation: oracle inequalities and adaptive minimax optimality
- Beiträge zur Störungstheorie der Spektralzerlegung
- CLT in functional linear regression models
- Concentration around the mean for maxima of empirical processes
- Concentration inequalities and model selection. Ecole d'Eté de Probabilités de Saint-Flour XXXIII -- 2003.
- Error bounds for tikhonov regularization in hilbert scales
- Functional data analysis.
- Functional linear model
- Generalized functional linear models
- High-dimensional Gaussian model selection on a Gaussian design
- Let's Get Real: A Factor Analytical Approach to Disaggregated Business Cycle Dynamics
- Linear processes in function spaces. Theory and applications
- Methodology and convergence rates for functional linear regression
- New concentration inequalities in product spaces
- Nonlinear estimation for linear inverse problems with error in the operator
- Nonparametric functional data analysis. Theory and practice.
- On inverse problems with unknown operators
- On rate optimal local estimation in functional linear regression
- Optimal prediction for linear regression with infinitely many parameters.
- PLS regression on a stochastic process
- Penalized contrast estimator for adaptive density deconvolution
- Risk bounds for model selection via penalization
- Sharp Optimality in Density Deconvolution with Dominating Bias. I
- Sharp Optimality in Density Deconvolution with Dominating Bias. II
- Smoothing splines estimators for functional linear regression
- Thresholding projection estimators in functional linear models
- When Do Sobolev Spaces Form a Hilbert Scale?
Cited in
(26)- Estimation in functional lagged regression
- On estimation in a spatial functional linear regression model with derivatives
- On adaptive linear regression
- Faster convergence rate for functional linear regression in reproducing kernel Hilbert spaces
- On rate optimal local estimation in functional linear regression
- Estimation and testing for partially functional linear errors-in-variables models
- Hybrid regularisation and the (in)admissibility of ridge regression in infinite dimensional Hilbert spaces
- Adaptive and minimax estimation of the cumulative distribution function given a functional covariate
- Optimal adaptive estimation of the relative density
- Robust shrinkage estimation and selection for functional multiple linear model through LAD loss
- Adaptive estimation in circular functional linear models
- Adaptive functional linear regression via functional principal component analysis and block thresholding
- Non-asymptotic adaptive prediction in functional linear models
- Estimation on semi-functional linear errors-in-variables models
- On estimation and prediction in spatial functional linear regression model
- Adaptive estimation of linear functionals in functional linear models
- Functional linear regression with functional response
- Optimal eigen expansions and uniform bounds
- Minimax adaptive tests for the functional linear model
- Lasso in Infinite dimension: application to variable selection in functional multivariate linear regression
- On the effect of noisy measurements of the regressor in functional linear models
- PCA-based estimation for functional linear regression with functional responses
- Nonparametric estimation in a mixed-effect Ornstein-Uhlenbeck model
- Functional linear regression with points of impact
- Thresholding projection estimators in functional linear models
- An introduction to nonparametric adaptive estimation
This page was built for publication: Adaptive functional linear regression
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q741806)
