Optimal prediction for additive function-on-function regression
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Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) General nonlinear regression (62J02) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Hilbert spaces with reproducing kernels (= (proper) functional Hilbert spaces, including de Branges-Rovnyak and other structured spaces) (46E22)
Abstract: As with classic statistics, functional regression models are invaluable in the analysis of functional data. While there are now extensive tools with accompanying theory available for linear models, there is still a great deal of work to be done concerning nonlinear models for functional data. In this work we consider the Additive Function-on-Function Regression model, a type of nonlinear model that uses an additive relationship between the functional outcome and functional covariate. We present an estimation methodology built upon Reproducing Kernel Hilbert Spaces, and establish optimal rates of convergence for our estimates in terms of prediction error. We also discuss computational challenges that arise with such complex models, developing a representer theorem for our estimate as well as a more practical and computationally efficient approximation. Simulations and an application to Cumulative Intraday Returns around the 2008 financial crisis are also provided.
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Cites work
- scientific article; zbMATH DE number 47282 (Why is no real title available?)
- scientific article; zbMATH DE number 5055767 (Why is no real title available?)
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Cited in
(13)- General Nonlinear Function-on-Function Regression via Functional Universal Approximation
- Functional sufficient dimension reduction through average Fréchet derivatives
- Additive regression for non-Euclidean responses and predictors
- Optimal prediction for high-dimensional functional quantile regression in reproducing kernel Hilbert spaces
- Non-asymptotic error bound for optimal prediction of function-on-function regression by RKHS approach
- Additive functional regression in reproducing kernel Hilbert spaces under smoothness condition
- Nonlinear Functional Modeling Using Neural Networks
- Optimal Function-on-Function Regression With Interaction Between Functional Predictors
- Functional response additive model estimation with online virtual stock markets
- Modern nonlinear function-on-function regression
- Estimation and Model Selection for Nonparametric Function-on-Function Regression
- Low-Rank Covariance Function Estimation for Multidimensional Functional Data
- Nonlinear function-on-function additive model with multiple predictor curves
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