Best estimation of functional linear models

DOI10.1016/J.JMVA.2016.07.005zbMATH Open1347.62087arXiv1412.7332OpenAlexW1557007051MaRDI QIDQ311804FDOQ311804

Authors: Giacomo Aletti, Caterina May, Chiara Tommasi 

Publication date: 13 September 2016

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Abstract: Observations which are realizations from some continuous process are frequent in sciences, engineering, economics, and other fields. We consider linear models, with possible random effects, where the responses are random functions in a suitable Sobolev space. The processes cannot be observed directly. With smoothing procedures from the original data, both the response curves and their derivatives can be reconstructed, even separately. From both these samples of functions, just one sample of representatives is obtained to estimate the vector of functional parameters. A simulation study shows the benefits of this approach over the common method of using information either on curves or derivatives. The main theoretical result is a strong functional version of the Gauss-Markov theorem. This ensures that the proposed functional estimator is more efficient than the best linear unbiased estimator based only on curves or derivatives.

Full work available at URL: https://arxiv.org/abs/1412.7332

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zbMATH Keywords

functional data analysislinear modelsrepeated measurementsSobolev spacesbest linear unbiased estimatorGauss-Markov theoremRiesz representation theorem

Mathematics Subject Classification ID

Inference from stochastic processes (62M99) Estimation in multivariate analysis (62H12) Inference from stochastic processes and spectral analysis (62M15) Riesz operators; eigenvalue distributions; approximation numbers, (s)-numbers, Kolmogorov numbers, entropy numbers, etc. of operators (47B06)

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Cited In (2)

• Title not available (Why is that?)
• Optimal estimation in functional linear regression for sparse noise‐contaminated data

Uses Software

• fda (R)

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