Estimation of functional derivatives

DOI10.1214/09-AOS686MaRDI QIDQ1043741zbMATH OpenFDO

Authors Fang Yao, Hans-Georg Müller, Peter Hall

Publication date 9 December 2009

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

Full work available at URL https://arxiv.org/abs/0909.1157

zbMATH Keywords

consistencyfunctional data analysisgradient fieldgrowth curveKarhunen-Loève expansionprincipal componentsmall ball probability

Mathematics Subject Classification ID

Density estimation (62G07) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Factor analysis and principal components; correspondence analysis (62H25)

Abstract: Situations of a functional predictor paired with a scalar response are increasingly encountered in data analysis. Predictors are often appropriately modeled as square integrable smooth random functions. Imposing minimal assumptions on the nature of the functional relationship, we aim to estimate the directional derivatives and gradients of the response with respect to the predictor functions. In statistical applications and data analysis, functional derivatives provide a quantitative measure of the often intricate relationship between changes in predictor trajectories and those in scalar responses. This approach provides a natural extension of classical gradient fields in vector space and provides directions of steepest descent. We suggest a kernel-based method for the nonparametric estimation of functional derivatives that utilizes the decomposition of the random predictor functions into their eigenfunctions. These eigenfunctions define a canonical set of directions into which the gradient field is expanded. The proposed method is shown to lead to asymptotically consistent estimates of functional derivatives and is illustrated in an application to growth curves.

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Cited in

(20)

• Strong uniform consistency rates and asymptotic normality of conditional density estimator in the single functional index modeling for time series data
• Local polynomial estimation of regression operators from functional data with correlated errors
• Multivariate and functional covariates and conditional copulas
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