Adaptive inference for the mean of a Gaussian process in functional data
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Publication:3100684
DOI10.1111/J.1467-9868.2010.00768.XzbMATH Open1226.62073arXiv0905.3091OpenAlexW1899427474MaRDI QIDQ3100684FDOQ3100684
Authors: Florentina Bunea, Andrada E. Ivanescu, Marten H. Wegkamp 
Publication date: 21 November 2011
Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)
Abstract: This paper proposes and analyzes fully data driven methods for inference about the mean function of a stochastic process from a sample of independent trajectories of the process, observed at discrete time points and corrupted by additive random error. The proposed method uses thresholded least squares estimators relative to an approximating function basis. The variable threshold levels are estimated from the data and the basis is chosen via cross-validation from a library of bases. The resulting estimates adapt to the unknown sparsity of the mean function relative to the selected approximating basis, both in terms of the mean squared error and supremum norm. These results are based on novel oracle inequalities. In addition, uniform confidence bands for the mean function of the process are constructed. The bands also adapt to the unknown regularity of the mean function, are easy to compute, and do not require explicit estimation of the covariance operator of the process. The simulation study that complements the theoretical results shows that the new method performs very well in practice, and is robust against large variations introduced by the random error terms.
Full work available at URL: https://arxiv.org/abs/0905.3091
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Cited In (23)
- Estimation and inference in functional single-index models
- On estimating the mean function of a Gaussian process
- Simultaneous inference for the mean function based on dense functional data
- Penalized function-on-function regression
- Adaptive Gaussian Process Approximation for Bayesian Inference with Expensive Likelihood Functions
- Simultaneous inference for the mean of repeated functional data
- Nonparametric inference in generalized functional linear models
- Adaptive inference for the bivariate mean function in functional data
- Simultaneous confidence bands for derivatives of dependent functional data
- Exact tests for the means of Gaussian stochastic processes
- Efficient Estimation of the Nonparametric Mean and Covariance Functions for Longitudinal and Sparse Functional Data
- Permutation-based inference for function-on-scalar regression with an application in PET brain imaging
- A partial overview of the theory of statistics with functional data
- Simultaneous confidence bands for functional regression models
- Universal nonparametric kernel-type estimators for the mean and covariance functions of a stochastic process
- Mean function estimation for a noisy random process under a sparse data condition
- A centroid classifier for functional/longitudinal data
- From multiple Gaussian sequences to functional data and beyond: a Stein estimation approach
- Estimation adaptative de la densité spectrale d'un processus gaussien faiblement ou fortement dépendant
- Simultaneous confidence bands for functional data using the Gaussian kinematic formula
- Hotelling's \(T^2\) in separable Hilbert spaces
- Confidence bands for Horvitz-Thompson estimators using sampled noisy functional data
- Statistical inference for stochastic processes: two-sample hypothesis tests
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