Methodology and theory for partial least squares applied to functional data

DOI10.1214/11-AOS958zbMATH Open1246.62084arXiv1205.6367OpenAlexW2033251710MaRDI QIDQ450036FDOQ450036

Authors: Aurore Delaigle, Peter Hall 

Publication date: 3 September 2012

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

Abstract: The partial least squares procedure was originally developed to estimate the slope parameter in multivariate parametric models. More recently it has gained popularity in the functional data literature. There, the partial least squares estimator of slope is either used to construct linear predictive models, or as a tool to project the data onto a one-dimensional quantity that is employed for further statistical analysis. Although the partial least squares approach is often viewed as an attractive alternative to projections onto the principal component basis, its properties are less well known than those of the latter, mainly because of its iterative nature. We develop an explicit formulation of partial least squares for functional data, which leads to insightful results and motivates new theory, demonstrating consistency and establishing convergence rates.

Full work available at URL: https://arxiv.org/abs/1205.6367

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zbMATH Keywords

principal componentsconsistencycentral limit theoremprojectionconvergence ratescomputational algorithmfunctional linear modelsgeneralized Fourier basisstochastic expansions

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Factor analysis and principal components; correspondence analysis (62H25)

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