Smoothing splines estimators for functional linear regression

DOI10.1214/07-AOS563zbMATH Open1169.62027arXiv0902.4344MaRDI QIDQ1002148FDOQ1002148

Authors: Christophe Crambes, Alois Kneip, Pascal Sarda 

Publication date: 25 February 2009

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

Abstract: The paper considers functional linear regression, where scalar responses $Y_1,\mathrm{...},Y_n$ are modeled in dependence of random functions $X_1,\mathrm{...},X_n$. We propose a smoothing splines estimator for the functional slope parameter based on a slight modification of the usual penalty. Theoretical analysis concentrates on the error in an out-of-sample prediction of the response for a new random function $X_{n+1}$. It is shown that rates of convergence of the prediction error depend on the smoothness of the slope function and on the structure of the predictors. We then prove that these rates are optimal in the sense that they are minimax over large classes of possible slope functions and distributions of the predictive curves. For the case of models with errors-in-variables the smoothing spline estimator is modified by using a denoising correction of the covariance matrix of discretized curves. The methodology is then applied to a real case study where the aim is to predict the maximum of the concentration of ozone by using the curve of this concentration measured the preceding day.

Full work available at URL: https://arxiv.org/abs/0902.4344

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zbMATH Keywords

functional linear regressionsmoothing splinesfunctional parameterfunctional variable

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Linear regression; mixed models (62J05) Inference from stochastic processes and prediction (62M20)

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Cited In (only showing first 100 items - show all)

• Functional Finite Mixture Regression Models
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• Robust exponential squared loss-based estimation in semi-functional linear regression models
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• FPCA-based estimation for generalized functional partially linear models
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• Predictive functional linear models with diverging number of semiparametric single-index interactions
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Uses Software

• fda (R)
• VanHuffel

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