Local polynomial estimation of the mean function and its derivatives based on functional data and regular designs

DOI10.1051/PS/2014009MaRDI QIDQ5174384zbMATH OpenOpenAlexFDO

Authors Karim Benhenni, David Degras

Publication date 17 February 2015

Published in ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1107.4058, https://www.esaim-ps.org/10.1051/ps/2014009/pdf

zbMATH Keywords

derivative estimationfunctional datalocal polynomial smoothingplug-in bandwidthsampling density

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20)

Abstract: Suppose that $n$ statistical units are observed, each following the model $Y(x_j)=m(x_j)+epsilon(x_j),,j=1,\mathrm{...},N,$ where $m$ is a regression function, $0leq{x}_1<\mathrm{...}<x_{N}leq1$ are observation times spaced according to a sampling density $f$, and $epsilon$ is a continuous-time error process having mean zero and regular covariance function. Considering the local polynomial estimation of $m$ and its derivatives, we derive asymptotic expressions for the bias and variance as $n,Noinfty$. Such results are particularly relevant in the context of functional data where essential information is contained in the derivatives. Based on these results, we deduce optimal sampling densities, optimal bandwidths and asymptotic normality of the estimator. Simulations are conducted in order to compare the performances of local polynomial estimators based on exact optimal bandwidths, asymptotic optimal bandwidths, and cross-validated bandwidths.

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Cited in

(4)

• Local polynomial estimation of regression operators from functional data with correlated errors
• On bandwidth selection problems in nonparametric trend estimation under martingale difference errors
• Statistical inferences for functional data
• Smooth and rough sample paths in mean derivative estimation for functional data

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