Adaptive estimation in circular functional linear models

DOI10.3103/S1066530710010035MaRDI QIDQ2437884zbMATH OpenFDO

Authors Jan Johannes, F. Comte

Publication date 10 March 2014

Published in Mathematical Methods of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0908.3392

zbMATH Keywords

model selectionminimax theoryderivatives estimationmean squared error of predictionorthogonal series estimation

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Linear regression; mixed models (62J05)

Abstract: We consider the problem of estimating the slope parameter in circular functional linear regression, where scalar responses Y1,...,Yn are modeled in dependence of 1-periodic, second order stationary random functions X1,...,Xn. We consider an orthogonal series estimator of the slope function, by replacing the first m theoretical coefficients of its development in the trigonometric basis by adequate estimators. Wepropose a model selection procedure for m in a set of admissible values, by defining a contrast function minimized by our estimator and a theoretical penalty function; this first step assumes the degree of ill posedness to be known. Then we generalize the procedure to a random set of admissible m's and a random penalty function. The resulting estimator is completely data driven and reaches automatically what is known to be the optimal minimax rate of convergence, in term of a general weighted L2-risk. This means that we provide adaptive estimators of both the slope function and its derivatives.

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Cited in

(9)

• Estimation of the Sobol indices in a linear functional multidimensional model
• Adaptive circular deconvolution by model selection under unknown error distribution
• Penalized contrast estimation in functional linear models with circular data
• Non-asymptotic adaptive prediction in functional linear models
• scientific article; zbMATH DE number 150206 (Why is no real title available?)
• Adaptive estimation of linear functionals in functional linear models
• Minimax adaptive tests for the functional linear model
• Lasso in Infinite dimension: application to variable selection in functional multivariate linear regression
• Adaptive functional linear regression

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