Adaptive regression with Brownian path covariate

DOI10.1214/20-AIHP1128MaRDI QIDQ2077331zbMATH OpenFDO

Authors Karine Bertin, Nicolas Klutchnikoff

Publication date 25 February 2022

Published in Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1907.11284

zbMATH Keywords

functional regressionoracle inequalitiesadaptive minimax rates of convergenceWiener-Itô chaos expansion

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Estimation in multivariate analysis (62H12)

Abstract: This paper deals with estimation with functional covariates. More precisely, we aim at estimating the regression function $m$ of a continuous outcome $Y$ against a standard Wiener coprocess $W$. Following Cadre and Truquet (2015) and Cadre, Klutchnikoff, and Massiot (2017) the Wiener-It^o decomposition of $m(W)$ is used to construct a family of estimators. The minimax rate of convergence over specific smoothness classes is obtained. A data-driven selection procedure is defined following the ideas developed by Goldenshluger and Lepski (2011). An oracle-type inequality is obtained which leads to adaptive results.

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