Prediction in functional linear regression

DOI10.1214/009053606000000830MaRDI QIDQ869966zbMATH OpenOpenAlexFDO

Authors N. E. Zubov

Publication date 12 March 2007

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

Full work available at URL https://arxiv.org/abs/math/0702650

zbMATH Keywords

bootstrapcovariancedimension reductionrate of convergencesmoothingminimaxsimulationsprincipal components analysisoptimal convergence rateeigenfunctioneigenvalueeigenvectorspectral decompositionslopeintercept

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Linear regression; mixed models (62J05)

Abstract: There has been substantial recent work on methods for estimating the slope function in linear regression for functional data analysis. However, as in the case of more conventional finite-dimensional regression, much of the practical interest in the slope centers on its application for the purpose of prediction, rather than on its significance in its own right. We show that the problems of slope-function estimation, and of prediction from an estimator of the slope function, have very different characteristics. While the former is intrinsically nonparametric, the latter can be either nonparametric or semiparametric. In particular, the optimal mean-square convergence rate of predictors is $n^{-1}$, where $n$ denotes sample size, if the predictand is a sufficiently smooth function. In other cases, convergence occurs at a polynomial rate that is strictly slower than $n^{-1}$. At the boundary between these two regimes, the mean-square convergence rate is less than $n^{-1}$ by only a logarithmic factor. More generally, the rate of convergence of the predicted value of the mean response in the regression model, given a particular value of the explanatory variable, is determined by a subtle interaction among the smoothness of the predictand, of the slope function in the model, and of the autocovariance function for the distribution of explanatory variables.

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