Methodology and convergence rates for functional time series regression

DOI10.5705/SS.202016.0536MaRDI QIDQ4558598zbMATH OpenOpenAlexFDO

Authors

Publication date 22 November 2018

Published in STATISTICA SINICA (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1612.07197

zbMATH Keywords

frequency analysisfunctional linear modelspectral density operatorsystem identificationTikhonov regularisation

Mathematics Subject Classification ID

Generalized linear models (logistic models) (62J12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Abstract: The functional linear model extends the notion of linear regression to the case where the response and covariates are iid elements of an infinite dimensional Hilbert space. The unknown to be estimated is a Hilbert-Schmidt operator, whose inverse is by definition unbounded, rendering the problem of inference ill-posed. In this paper, we consider the more general context where the sample of response/covariate pairs forms a weakly dependent stationary process in the respective product Hilbert space: simply stated, the case where we have a regression between functional time series. We consider a general framework of potentially nonlinear processes, exploiting recent advances in the spectral analysis of time series. Our main result is the establishment of the rate of convergence for the corresponding estimators of the regression coefficients, the latter forming a summable sequence in the space of Hilbert-Schmidt operators. In a sense, our main result can be seen as a generalisation of the classical functional linear model rates, to the case of time series, and rests only upon cumulant mixing conditions. While the analysis becomes considerably more involved in the dependent case, the rates are strikingly comparable to those of the i.i.d. case, but at the expense of an additional factor caused by the necessity to estimate the spectral density operator at a nonparametric rate, as opposed to the parametric rate for covariance operator estimation.

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Cited in

(17)

• Functional estimation for time series: Uniform convergence properties
• Functional linear regression with functional response
• Convergence rate of plugin estimates for functional parameters with applications to locally-stationary time-series
• Finite sample theory for high-dimensional functional/scalar time series with applications
• Frequency domain theory for functional time series: variance decomposition and an invariance principle
• A note on Herglotz's theorem for time series on function spaces
• A note on quadratic forms of stationary functional time series under mild conditions
• scientific article; zbMATH DE number 447043 (Why is no real title available?)
• Functional lagged regression with sparse noisy observations
• Estimation in functional lagged regression
• Statistical Inference for Functional Time Series
• scientific article; zbMATH DE number 7765987 (Why is no real title available?)
• On distributional autoregression and iterated transportation
• Testing LRD in the spectral domain for functional time series in manifolds
• LRD spectral analysis of multifractional functional time series on manifolds
• Extremes of projections of functional time series on data-driven basis systems
• Forecasting high-dimensional functional time series with dual-factor structures

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