Functional lagged regression with sparse noisy observations
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autocovariance operatorfunctional data analysislagged regressionnonparametric regressionspectral density operator
Stationary stochastic processes (60G10) Nonparametric regression and quantile regression (62G08) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Applications of statistics to physics (62P35) Functional data analysis (62R10) Geostatistics (86A32)
Abstract: A functional (lagged) time series regression model involves the regression of scalar response time series on a time series of regressors that consists of a sequence of random functions. In practice, the underlying regressor curve time series are not always directly accessible, but are latent processes observed (sampled) only at discrete measurement locations. In this paper, we consider the so-called sparse observation scenario where only a relatively small number of measurement locations have been observed, possibly different for each curve. The measurements can be further contaminated by additive measurement error. A spectral approach to the estimation of the model dynamics is considered. The spectral density of the regressor time series and the cross-spectral density between the regressors and response time series are estimated by kernel smoothing methods from the sparse observations. The impulse response regression coefficients of the lagged regression model are then estimated by means of ridge regression (Tikhonov regularisation) or PCA regression (spectral truncation). The latent functional time series are then recovered by means of prediction, conditioning on all the observed observed data. The performance and implementation of our methods are illustrated by means of a simulation study and the analysis of meteorological data.
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Cited in
(6)- Sparsely observed functional time series: estimation and prediction
- Optimal estimation in functional linear regression for sparse noise‐contaminated data
- Functional lagged regression
- Estimation in functional lagged regression
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