Estimating the conditional distribution in functional regression problems

DOI10.1214/22-EJS2067MaRDI QIDQ6366786arXivFDO

Authors Siegfried Hörmann, Thomas Kuenzer, Gregory Rice

Publication date 4 May 2021

Published in arXiv

Full work available at URL https://doi.org/10.1214/22-EJS2067

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Linear regression; mixed models (62J05)

arXiv classification

math.STstat.TH

Abstract: We consider the problem of consistently estimating the conditional distribution $P(YinA|X)$ of a functional data object $Y=(Y(t):tin[0,1])$ given covariates $X$ in a general space, assuming that $Y$ and $X$ are related by a functional linear regression model. Two natural estimation methods are proposed, based on either bootstrapping the estimated model residuals, or fitting functional parametric models to the model residuals and estimating $P(YinA|X)$ via simulation. Whether either of these methods lead to consistent estimation depends on the consistency properties of the regression operator estimator, and the space within which $Y$ is viewed. We show that under general consistency conditions on the regression operator estimator, which hold for certain functional principal component based estimators, consistent estimation of the conditional distribution can be achieved, both when $Y$ is an element of a separable Hilbert space, and when $Y$ is an element of the Banach space of continuous functions. The latter results imply that sets $A$ that specify path properties of $Y$, which are of interest in applications, can be considered. The proposed methods are studied in several simulation experiments, and data analyses of electricity price and pollution curves.

This page was built for publication: Estimating the conditional distribution in functional regression problems

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6366786)